On a semiparametric survival model with flexible covariate effect

Jens P. Nielsen, Oliver Linton and Peter J. Bickel

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: A semiparametric hazard model with parametrized time but general covariate dependency is formulated and analyzed inside the framework of counting process theory. A profile likelihood principle is introduced for estimation of the parameters: the resulting estimator is n1/2-consistent, asymptotically normal and achieves the semiparametric efficiency bound. An estimation procedure for the nonparametric part is also given and its asymptotic properties are derived. We provide an application to mortality data.

Keywords: Counting process theory; kernel estimation; predictability; semiparametric survival analysis. AMS 1991 subject classifications : Primary 62G05; secondary 62M09. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (7)

Published in Annals of Statistics, 1998, 26(1), pp. 215-241. ISSN: 0090-5364

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