Bayesian analysis of multistate event history data: beta-Dirichlet process prior

• 成果类型: Article
• 署名作者: Kim, Yongdai; James, Lancelot; Weissbach, Rafael
• 署名单位: Seoul National University (SNU); Hong Kong University of Science & Technology; University of Rostock
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asr067
• 发表日期: 2012
• 页码: 127140
• 关键词: competing risks; estimators

摘要

Bayesian analysis of a finite state Markov process, which is popularly used to model multistate event history data, is considered. A new prior process, called a beta-Dirichlet process, is introduced for the cumulative intensity functions and is proved to be conjugate. In addition, the beta-Dirichlet prior is applied to a Bayesian semiparametric regression model. To illustrate the application of the proposed model, we analyse a dataset of credit histories.