[Forum SIS] Annuncio Seminario: Alessandro Beretta "Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures"

[Statlab]

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Seminario di Statistica

Dipartimento di Scienze Economiche e Statistiche - DiSES
<http://www.dises.unisa.it/>  

Università degli Studi di Salerno

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Alessandro Beretta (University of Liège)

 

Variable selection in proportional hazards cure model with time-varying
covariates, application to US bank failures

 

Martedì 22 maggio 2018 ore 15:00 - 17:00 Sala Consigli Dises

Abstract

 

>From a survival analysis perspective, bank failure data are often
characterised by small default rates and heavy censoring. This empirical
evidence can be explained by the existence of a subpopulation of banks
likely immune from bankruptcy. In this regard, we use a mixture cure model
to separate the factors with an influence on the susceptibility to default
from the ones affecting the survival time of susceptible banks. We extend a
semi-parametric proportional hazards cure model to time-varying covariates
and we propose a penalized-likelihood variable selection technique. By means
of a simulation study, we show how this technique performs reasonably well.
Finally, we illustrate an application to commercial bank failures in the
United States over the period 2006-2016.

 

Laboratorio di Ricerca e Formazione avanzata in Statistica STATLAB
<http://www.statlab.unisa.it/index> 

Università degli Studi di Salerno

Via Giovanni Paolo II, 132

84084 Fisciano SA

Tel. +39 089 96 3132

 

 

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