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Maximum likelihood estimation for the proportional hazards model with partly interval‐censored data
Author(s) -
Kim Jong S.
Publication year - 2003
Publication title -
journal of the royal statistical society: series b (statistical methodology)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 6.523
H-Index - 137
eISSN - 1467-9868
pISSN - 1369-7412
DOI - 10.1111/1467-9868.00398
Subject(s) - statistics , mathematics , estimator , proportional hazards model , likelihood function , maximum likelihood , confidence interval , estimation theory , covariance , covariance matrix , variance (accounting) , interval (graph theory) , regression analysis , fisher information , restricted maximum likelihood , hazard , accounting , combinatorics , business , chemistry , organic chemistry
Summary. The maximum likelihood estimator (MLE) for the proportional hazards model with partly interval‐censored data is studied. Under appropriate regularity conditions, the MLEs of the regression parameter and the cumulative hazard function are shown to be consistent and asymptotically normal. Two methods to estimate the variance–covariance matrix of the MLE of the regression parameter are considered, based on a generalized missing information principle and on a generalized profile information procedure. Simulation studies show that both methods work well in terms of the bias and variance for samples of moderate size. An example illustrates the methods.