Inference for a Nonlinear Counting Process Regression Model

Abstract

Martingale and counting process techniques are applied to the problem of inference for general conditional hazard functions. This problem was first studied by Beran, who introduced a class of estimators for the conditional cumulative hazard and survival functions in the special case of time-independent covariates. Here the covariate can be time dependent; the classical i.i.d. assumptions are relaxed by replacing them with certain asymptotic stability assumptions, and models involving recurrent failures are included. This is done within the framework of a general nonparametric counting process regression model. Important examples of the model include right-censored survival data, semi-Markov processes, an illness-death process with duration dependence, and age-dependent birth and death processes.