Premium
An Additive–Multiplicative Cox–Aalen Regression Model
Author(s) -
SCHEIKE THOMAS H.,
ZHANG MEIJIE
Publication year - 2002
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00065
Subject(s) - covariate , mathematics , additive model , estimator , multiplicative function , proportional hazards model , statistics , regression analysis , estimating equations , econometrics , mathematical analysis
We propose an additive–multiplicative intensity model that extends the Cox regression model as well as the additive Aalen model. Instead of having a simple baseline intensity the extended model uses an additive Aalen model as its covariate dependent baseline. Approximate maximum likelihood estimators of the baseline intensity functions and the relative risk parameters of the Cox model are suggested by solving the score equations. The derived estimator is efficient. We establish the large sample properties of the estimator. The model provides a simple pragmatic way of including time‐varying covariate effects.