TY  - RPRT
        AU  - Berg, Gerard J. van den
AU  - Effraimidis, Georgios
        TI  - Dependence Measures in Bivariate Gamma Frailty Models
        PY  - 2014/Mar/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 8083
        UR  - https://www.iza.org/index.php/publications/dp8083
        AB  - Bivariate duration data frequently arise in economics, biostatistics and other areas. In "bivariate frailty models", dependence between the frailties (i.e., unobserved determinants) induces dependence between the durations. Using notions of quadrant dependence, we study restrictions that this imposes on the implied dependence of the durations, if the frailty terms act multiplicatively on the corresponding hazard rates. Marginal frailty distributions are often taken to be gamma distributions. For such cases we calculate general bounds for two association measures, Pearson's correlation coefficient and Kendall's tau. The results are employed to compare the flexibility of specific families of bivariate gamma frailty distributions.
        KW  - bivariate gamma distribution
KW  - duration models
KW  - competing risks
KW  - Kendall's tau
KW  - negative and positive quadrant dependence
KW  - Pearson's correlation coefficient
KW  - unobserved heterogeneity
KW  - survival analysis
        ER  -