A dependent and censored first hitting-time model with compound Poisson processes
Methodology
2025-04-14 v1
Abstract
We consider a bivariate first hitting-time model in which durations are the crossing times of dependent compound Poisson processes with fixed thresholds. The identifiability of the model is discussed, and likelihood estimators of the model parameters are proposed. We obtain the asymptotic properties of the estimators and underline their finite sample performance with a simulation study on synthetic data. The practical applicability of our approach is demonstrated by an application using data from patients suffering from mushroom poisoning.
Keywords
Cite
@article{arxiv.2504.08483,
title = {A dependent and censored first hitting-time model with compound Poisson processes},
author = {Mikael Escobar-Bach and Alexandre Popier and Malo Sahin},
journal= {arXiv preprint arXiv:2504.08483},
year = {2025}
}
Comments
43 pages, 8 figures, 1 table