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Nonparametric Priors for Vectors of Survival Functions

By Ilenia Epifani and Antonio Lijoi
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Abstract

The paper proposes a new nonparametric prior for two–dimensional vectors of survival functions (S1, S2). The definition we introduce is based on the notion of L´evy copula and it will be used to model, in a nonparametric Bayesian framework, two–sample survival data. Such an application will yield a natural extension of the more familiar neutral to the right process of Doksum (1974) adopted for drawing inferences on single survival functions. We, then, obtain a description of the posterior distribution of (S1, S2), conditionally on possibly right–censored data. As a by–product of our analysis, we find out that the marginal distribution of a pair of observations from the two samples coincides with the Marshall–Olkin or the Weibull distribution according to specific choices of the marginal L´evy measures.Bayesian nonparametrics, Completely random measures, Dependent stable processes, L´evy copulas, Posterior distribution, Right–censored data, Survival function

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Provided by: Research Papers in Economics
Downloaded from http://economia.unipv.it/docs/dipeco/quad/ps/RePEc/pav/wpaper/q098.pdf

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