Our aim is to investigate the performance of different variable selection methods, focusing on a statistical procedure suitable for the competing risks model. In this setting, same variables might have different degrees of influence on the risks due to multiple causes and this effect has to be taken into account in the choice of the ”best” subset. The proposed procedure, based on shrinkage techniques, has been evaluated by means of empirical analysis on default risk predictions.
Variable selection in competing risks model
AMENDOLA, Alessandra;RESTAINO, MARIALUISA
2012-01-01
Abstract
Our aim is to investigate the performance of different variable selection methods, focusing on a statistical procedure suitable for the competing risks model. In this setting, same variables might have different degrees of influence on the risks due to multiple causes and this effect has to be taken into account in the choice of the ”best” subset. The proposed procedure, based on shrinkage techniques, has been evaluated by means of empirical analysis on default risk predictions.File in questo prodotto:
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