Polyhazard Models for Lifetime Data

Summary. We propose a polyhazard model to deal with lifetime data associated with latent competing risks. The causes of failure are assumed unobserved and affecting individuals independently. The general framework allows a broad class of hazard models that includes the most common hazard‐based models. The model accommodates bathtub and multimodal hazards, keeping enough flexibility for common lifetime data that cannot be accommodated by usual hazard‐based models. Maximum likelihood estimation is discussed, and parametric simulation is used for hypothesis testing.