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We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation…

Statistical Finance · Quantitative Finance 2011-04-12 Silvio M. Duarte Queiros , Evaldo M. F. Curado , Fernando D. Nobre

Expected shortfall is defined as the average over the tail below (or above) a certain quantile of a probability distribution. Expected shortfall regression provides powerful tools for learning the relationship between a response variable…

Methodology · Statistics 2025-01-03 Shushu Zhang , Xuming He , Kean Ming Tan , Wen-Xin Zhou

In survival analysis, the lifetime under study is not always observed. In certain applications, for some individuals, the value of the lifetime is only known to be smaller or larger than some random duration. This framework represent an…

Statistics Theory · Mathematics 2020-02-25 Laurent Bordes , Maria Carmen Pardo , Christian Paroissin , Valentin Patilea

We consider continuous-time survival or more general event-history settings, where the aim is to infer the causal effect of a time-dependent treatment process. This is formalised as the effect on the outcome event of a (possibly…

Methodology · Statistics 2024-04-23 Kjetil Røysland , Pål Ryalen , Mari Nygård , Vanessa Didelez

Left censoring can occur with relative frequency when analysing recurrent events in epidemiological studies, especially observational ones. Concretely, the inclusion of individuals that were already at risk before the effective initiation…

Methodology · Statistics 2021-02-24 Gilma Hernández-Herrera , David Moriña , Albert Navarro

The objective is to model longitudinal and survival data jointly taking into account the dependence between the two responses in a real HIV/AIDS dataset using a shared parameter approach inside a Bayesian framework. We propose a linear…

Applications · Statistics 2016-05-02 Rui Martins

Understanding the impact of treatment effect over time is a fundamental aspect of many scientific and medical studies. In this paper, we introduce a novel approach under a continuous-time reinforcement learning framework for testing a…

Methodology · Statistics 2026-02-03 Jiuchen Zhang , Annie Qu

Hazard serves as a pivotal estimand in both practical applications and methodological frameworks. However, its causal interpretation poses notable challenges, including inherent selection biases and ill-defined populations to be compared…

Methodology · Statistics 2024-05-08 En-Yu Lai , Yen-Tsung Huang

An aspect of interest in surveillance of diseases is whether the survival time distribution changes over time. By following data in health registries over time, this can be monitored, either in real time or retrospectively. With relevant…

Applications · Statistics 2025-03-10 Jimmy Huy Tran , Jan Terje Kvaløy , Hartwig Kørner

A recently published randomized controlled trial in JAMA investigated the impact of the selective serotonin reuptake inhibitor, escitalopram, on the risk of major adverse events (MACE). The authors estimated a hazard ratio (HR) of 0.69 (95%…

Applications · Statistics 2020-10-05 Zad Rafi

Recurrent events are common in clinical, healthcare, social and behavioral studies. A recent analysis framework for potentially censored recurrent event data is to construct a censored longitudinal data set consisting of times to the first…

Applications · Statistics 2025-02-11 Abigail Loe , Susan Murray , Zhenke Wu

The odds ratio (OR) is a measure of effect size commonly used in observational research. OR reflects statistical association between a binary outcome, such as the presence of a health condition, and a binary predictor, such as an exposure…

Methodology · Statistics 2018-07-09 Olga A Vsevolozhskaya , Dmitri V Zaykin

Generalization methods offer a powerful solution to one of the key drawbacks of randomized controlled trials (RCTs): their limited representativeness. By enabling the transport of treatment effect estimates to target populations subject to…

Methodology · Statistics 2025-05-20 Ahmed Boughdiri , Clément Berenfeld , Julie Josse , Erwan Scornet

Hereby we propose a Bayesian method of estimation for the semiparametric Additive Hazards Model (AHM) from Survival Analysis under right-censoring. With this aim, we review the AHM revisiting the likelihood function, so as to comment on the…

Methodology · Statistics 2025-05-28 Enrique Ernesto Álvarez , Maximiliano Luis Riddick

In Survival Analysis, the observed lifetimes often correspond to individuals for which the event occurs within a specific calendar time interval. With such interval sampling, the lifetimes are doubly truncated at values determined by the…

Methodology · Statistics 2021-03-29 Carla Moreira , Jacobo de Uña-Álvarez , Ana Cristina Santos , Henrique Barros

We consider a Kendall's tau measure between a binary group indicator and the continuous variable under investigation to develop a thorough two-sample comparison procedure. The measure serves as a useful alternative to the hazard ratio whose…

Existing conformal prediction methods for time-to-event outcomes leverage only baseline covariates, producing prediction intervals that are insufficiently informative to facilitate decision making. We propose History-Aware Prediction Sets…

Methodology · Statistics 2026-05-08 Yuyao Wang , Alexander W. Levis , Shu Yang , Larry Han

It is known that the hazard ratio lacks a useful causal interpretation. Even for data from a randomized controlled trial, the hazard ratio suffers from built-in selection bias as, over time, the individuals at risk in the exposed and…

Statistics Theory · Mathematics 2022-11-01 Richard Post , Edwin van den Heuvel , Hein Putter

Comparative binary outcome data are of fundamental interest in statistics and are often pooled in meta-analyses. Here we examine the simplest case where for each study there are two patient groups and a binary event of interest, giving rise…

Methodology · Statistics 2018-06-12 Rose Baker , Dan Jackson

An important task in health research is to characterize time-to-event outcomes such as disease onset or mortality in terms of a potentially high-dimensional set of risk factors. For example, prospective cohort studies of Alzheimer's disease…

Methodology · Statistics 2024-01-12 Harrison T. Reeder , Sebastien Haneuse , Kyu Ha Lee
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