Discrete-time survival trees and forests with time-varying covariates: application to bankruptcy data

被引：27

作者：

Bou-Hamad, Imad ^{[2
]}

Larocque, Denis ^{[1
]}

Ben-Ameur, Hatem ^{[1
]}

机构：

[1] HEC Montreal, Dept Management Sci, Montreal, PQ H3T 2A7, Canada

[2] Amer Univ Beirut, Olayan Sch Business, Dept Business Informat & Decis Syst, Lebanon, NH USA

来源：

STATISTICAL MODELLING | 2011年 / 11卷 / 05期

基金：

加拿大自然科学与工程研究理事会;

关键词：

bankruptcy data; discrete-time survival analysis; random forests; survival forests; time-varying covariate; FINANCIAL RATIOS; PREDICTION; REGRESSION; CLASSIFICATION; DURATION; GOODNESS; RISK;

D O I：

10.1177/1471082X1001100503

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The aim of this paper is to propose a new survival tree method for discrete-time survival data with time-varying covariates. This method can accommodate simultaneously time-varying covariates and time-varying effects. The method is then used for bankruptcy analysis of US firms that conducted an Initial Public Offerings between 1990 and 1999 using accounting and financial ratios.

引用

页码：429 / 446

页数：18

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