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February 2006 Local partial-likelihood estimation for lifetime data
Jianqing Fan, Huazhen Lin, Yong Zhou
Ann. Statist. 34(1): 290-325 (February 2006). DOI: 10.1214/009053605000000796


This paper considers a proportional hazards model, which allows one to examine the extent to which covariates interact nonlinearly with an exposure variable, for analysis of lifetime data. A local partial-likelihood technique is proposed to estimate nonlinear interactions. Asymptotic normality of the proposed estimator is established. The baseline hazard function, the bias and the variance of the local likelihood estimator are consistently estimated. In addition, a one-step local partial-likelihood estimator is presented to facilitate the computation of the proposed procedure and is demonstrated to be as efficient as the fully iterated local partial-likelihood estimator. Furthermore, a penalized local likelihood estimator is proposed to select important risk variables in the model. Numerical examples are used to illustrate the effectiveness of the proposed procedures.


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Jianqing Fan. Huazhen Lin. Yong Zhou. "Local partial-likelihood estimation for lifetime data." Ann. Statist. 34 (1) 290 - 325, February 2006.


Published: February 2006
First available in Project Euclid: 2 May 2006

zbMATH: 1091.62099
MathSciNet: MR2275243
Digital Object Identifier: 10.1214/009053605000000796

Primary: 62G05
Secondary: 62N01 , 62N02

Keywords: local partial likelihood , one-step estimation , proportional hazards model , Variable selection , varying coefficient

Rights: Copyright © 2006 Institute of Mathematical Statistics


Vol.34 • No. 1 • February 2006
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