Cumulants and Bartlett Identities in Cox Regression

Per Aslak Mykland () and Jianming Ye ()
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Per Aslak Mykland: The University of Chicago, Department of Statistics
Jianming Ye: Baruch College, Zicklin School of Business

A chapter in The Fascination of Probability, Statistics and their Applications, 2016, pp 85-97 from Springer

Abstract: Abstract Expressions are found for the cumulants needed to analyze and improve the accuracy of Cox regression up to order $$O(n^{-3/2})$$ O ( n - 3 / 2 ) , and consistent estimators for these are given. In addition, the Bartlett identities are shown to hold for the Cox partial likelihood (and, in a broad sense, for partial likelihood in general), so that the cumulant estimators found can be used to adjust statistics in accordance with formulas from likelihood theory. Numerical results are also given.

Keywords: Bartlett identities; Bartlett correction; Partial likelihood; Proportional hazards model; Survival analysis (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-25826-3_5

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DOI: 10.1007/978-3-319-25826-3_5

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