A Copula Model for Marked Point Processes

• Activity Number: 370
• Type: Invited
• Date/Time: Tuesday, August 5, 2014 : 2:00 PM to 3:50 PM
• Sponsor: Section on Risk Analysis
• Author(s): Liqun Diao*+ and Richard J. Cook and Ker-Ai Lee
• Companies: University of Rochester and University of Waterloo and University of Waterloo
• Keywords: Copula function ; Joint analysis ; Marks ; Recurrent events

Abstract

Many chronic diseases feature recurring clinically important events. In addition, however, there often exists a random variable which is realized upon the occurrence of each event reflecting the severity of the event, a cost associated with it, or possibly a short term response indicating the effect of a therapeutic intervention. We describe a novel model for a marked point process which incorporates a dependence between continuous marks and the event process through the use of a copula function. The copula formulation ensures that event times can be modeled by any intensity function for point processes, and any multivariate model can be specified for the continuous marks. The relative efficiency of joint versus separate analyses of the event times and the marks is examined through simulation under random censoring. An application to data from a recent trial in transfusion medicine is given for illustration.