Wednesday, January 18, 2017

Survival analysis: topics covered

Survival Analysis

Survival analysis is applied when the data set includes subjects that are tracked until an event happens (failure) or we lose them from the sample.  We are interested in how long they stay in the sample (survival).  We are also interested in their risk of failure (hazard rates).  Examples include loan performance and default, firm survival and exit, and time to retirement.

Survival analysis: topics covered
  • Survival analysis set up and features
  • Extensions of basic survival analysis
  • Survival, hazard, and cumulative hazard functions
  • Nonparametric analysis (Kaplan-Meier survival function)
  • Parametric models (Exponential, Weibull, Gompertz, and Log-logistic)
  • Semi-parametric models (Cox proportional hazard model)

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