Graphical Tests for the Assumption of Gamma and Inverse Gaussian Frailty Distributions

The common choices of frailty distribution in lifetime data models include the Gamma and Inverse Gaussian distributions. We present diagnostic plots for these distributions when frailty operates in a proportional hazards framework. Firstly, we present plots based on the form of the unconditional survival function when the baseline hazard is assumed to be Weibull. Secondly, we base a plot on a closure property that applies for any baseline hazard, namely, that the frailty distribution among survivors at time t has the same form as the original distribution, with the same shape parameter but different scale parameter. We estimate the shape parameter at different values of t and examine whether it is constant, that is, whether plotted values form a straight line parallel to the time axis. We provide simulation results assuming Weibull baseline hazard and an example to illustrate the methods.