The Lehmann Model with Time-dependent Covariates

Qiqing Yu, George Y. C. Wong, Michael P. Osborne, Yuting Hsu and Xiaosong Ai

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 20, 4380-4395

Abstract: Consider the Lehmann model with time-dependent covariates, which is different from Cox’s model. We find out that (1) the parameter space for β under the Lehmann model is restricted, and the maximum point of the parametric likelihood for β may lie outside the parameter space; (2) for some particular time-dependent covariate, under the standard generalized likelihood the semiparametric maximum likelihood estimator (SMLE) is inconsistent and we propose a modified generalized likelihood which leads to the consistent SMLE.

Date: 2015
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DOI: 10.1080/03610926.2013.784991

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