Statistical Modelling 11 (2011), 429–446
Discrete-time survival trees and forests with time-varying covariates:
application to bankruptcy data
Imad Bou-Hamad
Department of Business Information and Decision Systems
Olayan School of Business
American University of Beirut
Lebanon
Denis Larocque
Department of Management Sciences
HEC Montréal
3000, chemin de la Côte-Sainte Catherine
Montréal, Quebec
Canada H3T 2A7
eMail: denis.larocque@hec.ca
Hatem Ben-Ameur
Department of Management Sciences
HEC Montréal
Canada
Abstract:
The aim of this paper is to propose a new survival tree method for
discrete-time survival data with time-varying covariates. This method can
accommodate simultaneously time-varying covariates and time-varying effects.
The method is then used for bankruptcy analysis of US firms that conducted
an Initial Public Offerings between 1990 and 1999 using accounting and
financial ratios.
Keywords:
bankruptcy data; discrete-time survival analysis;
random forests; survival forests; time-varying covariate
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