stats_survival: 4 tools.
| Tool | What it does | Notes |
|---|---|---|
stats_cox_ph | Cox proportional hazards regression for censored durations (time to default, prepayment, delisting, client attrition): how covariates scale the hazard of the event. | |
stats_kaplan_meier | Kaplan-Meier estimate of the survival function from censored durations, overall or per group (fund survival, loan survival to default, client retention). | |
stats_logrank_test | Tests whether survival differs between groups (default timing by rating, fund survival by strategy): the log-rank test or a weighted variant (Gehan-Breslow, Tarone-Ware, Fleming-Harrington), optionally stratified. | |
stats_cumulative_incidence | Cumulative incidence of each cause under competing risks (a mortgage ends in default or prepayment, a fund closes or merges): the probability of having failed from each cause by every time, which, unlike one minus a Kaplan-Meier curve, accounts for the other causes. |
fincept_describe_tool.