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Estimation in a Cox Regression Model With a Change-Point at an Unknown Time 

Author: Odile Pons a
Affiliation:   a INRA, Biomeacutetrie, 78352 Jouy-en-Josas cedex, France E-mail: odile.pons@jouy.inra.fr.
DOI: 10.1080/02331880212043
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 36, Issue 2 2002 , pages 101 - 124
Formats available: PDF (English)
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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.
Keywords: Asymptotic Distribution; Censored Data; Change-point; Cox's Regression; Maximum Likelihood Estimation; Point Process
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