Smoothed Isotonic Estimators of a Monotone Baseline Hazard in the Cox Model

Hendrik P. Lopuhaä and Eni Musta

Scandinavian Journal of Statistics, 2018, vol. 45, issue 3, 753-791

Abstract: We consider the smoothed maximum likelihood estimator and the smoothed Grenander‐type estimator for a monotone baseline hazard rate λ 0 in the Cox model. We analyze their asymptotic behaviour and show that they are asymptotically normal at rate nm/(2m+1), when λ 0 is m≥2 times continuously differentiable, and that both estimators are asymptotically equivalent. Finally, we present numerical results on pointwise confidence intervals that illustrate the comparable behaviour of the two methods.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:45:y:2018:i:3:p:753-791

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