The Use of Generalized Gamma-Polynomial Approximation for Hazard Functions

- Journal title : Korean Journal of Applied Statistics
- Volume 22, Issue 6, 2009, pp.1345-1353
- Publisher : The Korean Statistical Society
- DOI : 10.5351/KJAS.2009.22.6.1345

Title & Authors

The Use of Generalized Gamma-Polynomial Approximation for Hazard Functions

Ha, Hyung-Tae;

Ha, Hyung-Tae;

Abstract

We introduce a simple methodology, so-called generalized gamma-polynomial approximation, based on moment-matching technique to approximate survival and hazard functions in the context of parametric survival analysis. We use the generalized gamma-polynomial approximation to approximate the density and distribution functions of convolutions and finite mixtures of random variables, from which the approximated survival and hazard functions are obtained. This technique provides very accurate approximation to the target functions, in addition to their being computationally efficient and easy to implement. In addition, the generalized gamma-polynomial approximations are very stable in middle range of the target distributions, whereas saddlepoint approximations are often unstable in a neighborhood of the mean.

Keywords

Hazard function;survival function;generalized gamma-polynomial approximation;moments;convolutions;mixtures;

Language

English

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