The Bernstein–von Mises theorem in semiparametric competing risks models

Semiparametric Bayesian models are nowadays a popular tool in event history analysis. An important area of research concerns the investigation of frequentist properties of posterior inference. In this paper, we propose novel semiparametric Bayesian models for the analysis of competing risks data and investigate the Bernstein–von Mises theorem for differentiable functionals of model parameters. The model is specified by expressing the cause-specific hazard as the product of the conditional probability of a failure type and the overall hazard rate. We take the conditional probability as a smooth function of time and leave the cumulative overall hazard unspecified. A prior distribution is defined on the joint parameter space, which includes a beta process prior for the cumulative overall hazard. We first develop the large-sample properties of maximum likelihood estimators by giving simple sufficient conditions for them to hold. Then, we show that, under the chosen priors, the posterior distribution for any differentiable functional of interest is asymptotically equivalent to the sampling distribution derived from maximum likelihood estimation. A simulation study is provided to illustrate the coverage properties of credible intervals on cumulative incidence functions.