A Note on a Paper by Ferguson and Phadia

Abstract

Ferguson and Phadia have recently discussed the nonparametric Bayesian estimation of a distribution function from a right-censored random sample using process priors that are neutral to the right. The more general problem of estimating the baseline distribution function with right censored data from the proportional hazards model has been studied by Kalbfleisch who uses the more restrictive class of gamma process priors. This note shows that, with a simple modification, the analysis of Ferguson and Phadia can be extended to deal with the proportional hazards situation with constant covariates. Extensions to time dependent covariates and other regression models are also considered.