TY - CHAP
TI - A Bayesian Survival Model for Time-Varying Coefficients and unobserved Heterogeneity
AB - Two sources of heterogeneity are often overlooked in the applied survival literature. On the one hand, time-varying hazard contributions of explanatory variables cannot be captured in the widely used Cox proportional hazard model. To this end, this paper investigates a dynamic survival model in the spirit of [3] within a Bayesian framework. Such a specification allows parameters to gradually evolve over time, thus accounting for time-varying effects. On the other hand, unobserved heterogeneity across (a potentially large number of) groups is often ignored, leading to invalid estimators. This paper makes accounting for such effects feasible for even large numbers of groups through a shared factor model, which picks up unexplained covariance in the error term. Building on the Markov Chain Monte Carlo scheme of [4] allows the usage of shrinkage priors to avoid overfitting in such a highly parameterized model. This paper uses the riple gamma prior introduced by [2] in the same fashion as [1] to detectwhich parameters should be included in the model and which should be allowed to vary over time. Finally, an R package which makes the routine easily available is introduced.
AF - European Young Statisticians Meeting
PP - Athens
PY - 2021-01-01
AU - Knaus, Peter
AU - Winkler, Daniel
ER -