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Activity Number:
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166
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Type:
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Contributed
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Date/Time:
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Monday, August 3, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #303863 |
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Title:
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Discrete-Time Survival Trees and Forests with Time-Varying Covariates
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Author(s):
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Denis Larocque*+ and Imad Bou-Hamad and Hatem Ben-Ameur
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Companies:
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HEC Montréal and HEC Montréal and HEC Montréal
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Address:
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, Montreal, QC, , Canada
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Keywords:
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Bankruptcy data ; Discrete-time survival analysis ; Survival forests ; Time-varying covariate
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Abstract:
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Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each firm is available on a yearly basis. Moreover, these studies often use financial and accounting based ratios to predict bankruptcy. These ratios are also yearly measures and hence are time-varying. In this paper, we propose a new survival tree method for discrete-time survival data with time-varying covariates. The new method is applied to a sample of United States firms that conducted an Initial Public Offerings between 1990 and 1999.
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- Authors who are presenting talks have a * after their name.
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