Estimation in a Cox Regression Model With a Change-Point at an Unknown Time
Author:
Odile Pons a
| Affiliation: | a INRA, Biom trie, 78352 Jouy-en-Josas cedex, France E-mail: odile.pons@jouy.inra.fr. |
DOI:
10.1080/02331880212043
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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Abstract
This paper concerns the asymptotic properties of the maximum likelihood estimators of the parameters in a non regular Cox model involving a change-point in the regression on time-dependent covariates. The global consistency derives from the uniform convergence of the partial log-likelihood. We prove that the estimator of the change-point is n -consistent and the estimator of the regression parameter n 1/2 -consistent, and their asymptotic distributions are established.
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| Keywords: Asymptotic Distribution; Censored Data; Change-point; Cox's Regression; Maximum Likelihood Estimation; Point Process |
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trie, 78352 Jouy-en-Josas cedex, France E-mail: odile.pons@jouy.inra.fr.
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