Enhancement

(Jun 1, 2013)

An oft-overlooked aspect of statistical models is that parameters are dependent on each other.  Ignoring such dependencies can have important consequences, and in extreme cases can even undermine assumptions for a forecasting model.  However, in the case of a regression model the correlations between regressor variables can sometimes have some unexpectedly positive results.  To illustrate this, consider a sequence of fits of a survival model for a Makeham-Perks mortality law (Richards, 2008) defined as follows:

μx = [exp(ε) + exp(α + βx)] / [1 + exp(α + βx)]

where the parameter α is allowed to vary by gender, health status at retirement, or both.  The results…

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Tags: survival models, enhancement, AIC

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