Local partial-likelihood estimation for lifetime data

Details Local partial-likelihood estimation for lifetime data Local partial-likelihood estimation for lifetime data

2006-05-18

arxiv.org/abs/math/0605511v1

Annals of Statistics 2006, Vol. 34, No. 1, 290-325

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053605000000796 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

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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