The Annals of Statistics

Local likelihood and local partial likelihood in hazard regression

Jianqing Fan, Irène Gijbels, and Martin King

Full-text: Open access

Abstract

In survival analysis, the relationship between a survival time and a covariate is conveniently modeled with the proportional hazards regression model. This model usually assumes that the covariate has a log-linear effect on the hazard function. In this paper we consider the proportional hazards regression model with a nonparametric risk effect. We discuss estimation of the risk function and its derivatives in two cases: when the baseline hazard function is parametrized and when it is not parametrized. In the case of a parametric baseline hazard function, inference is based on a local version of the likelihood function, while in the case of a nonparametric baseline hazard, we use a local version of the partial likelihood. This results in maximum local likelihood estimators and maximum local partial likelihood estimators, respectively. We establish the asymptotic normality of the estimators. It turns out that both methods have the same asymptotic bias and variance in a common situation, even though the local likelihood method uses information about the baseline hazard function.

Article information

Source
Ann. Statist., Volume 25, Number 4 (1997), 1661-1690.

Dates
First available in Project Euclid: 9 September 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1031594736

Digital Object Identifier
doi:10.1214/aos/1031594736

Mathematical Reviews number (MathSciNet)
MR1463569

Zentralblatt MATH identifier
0890.62023

Subjects
Primary: 62G05: Estimation
Secondary: 62E20: Asymptotic distribution theory 60G44: Martingales with continuous parameter

Keywords
Asymptotic normality censored data local likelihood local partial likelihood proportional hazards

Citation

Fan, Jianqing; Gijbels, Irène; King, Martin. Local likelihood and local partial likelihood in hazard regression. Ann. Statist. 25 (1997), no. 4, 1661--1690. doi:10.1214/aos/1031594736. https://projecteuclid.org/euclid.aos/1031594736


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