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

[statlab a unisa.it]

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Seminario di Statistica 

Dipartimento di Scienze Economiche e Statistiche - DiSES [1] 

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_ 

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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 [2] 

Università degli Studi di Salerno 

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Links:
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[1] http://www.dises.unisa.it/
[2] http://www.statlab.unisa.it/index
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