Time-dependent coefficients in a Cox-type regression model
S. A. Murphy and
P. K. Sen
Stochastic Processes and their Applications, 1991, vol. 39, issue 1, 153-180
Estimation of a time-varying coefficient in a Cox-type parameterization of the stochastic intensity of a point process is considered. A sieve estimation procedure (Grenander, 1981) is used to estimate the coefficient. A rate of convergence in probability for the sieve estimator is given and a functional CLT for the integrated sieve estimator is proved.
Keywords: counting; processes; Cox; regression; martingales; method; of; sieves (search for similar items in EconPapers)
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