On the Lp error of the Grenander‐type estimator in the Cox model

Cécile Durot and Eni Musta

Statistica Neerlandica, 2020, vol. 74, issue 4, 559-591

Abstract: We consider the Cox regression model and study the asymptotic global behavior of the Grenander‐type estimator for a monotone baseline hazard function. This model is not included in the general setting of Durot (2007). However, we show that a similar central limit theorem holds for Lp‐error of the Grenander‐type estimator. As an illustration of application of our main result, we propose a test procedure for a Weibull baseline distribution, based on the Lp‐distance between the Grenander estimator and a parametric estimator of the baseline hazard. Simulation studies are performed to investigate the performance of this test.

Date: 2020
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