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

Author

Cédric Heuchenne and Alessandro Beretta

Subjects
Statistics and Probability, Time-varying covariate, 021103 operations research, Proportional hazards model, 0211 other engineering and technologies, Feature selection, 02 engineering and technology, 01 natural sciences, 010104 statistics & probability, Censoring (clinical trials), Statistics, Econometrics, Economics, 0101 mathematics, Statistics, Probability and Uncertainty, Empirical evidence, Bank failure, Scad, Survival analysis
Abstract

From a survival analysis perspective, bank failure data are often characterized by small default rates and heavy censoring. This empirical evidence can be explained by the existence of a subpopulat...

Published
2018

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