Stochastic calculus as a tool in survival analysis: A review (Q5899913)
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scientific article; zbMATH DE number 4159864
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic calculus as a tool in survival analysis: A review |
scientific article; zbMATH DE number 4159864 |
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Stochastic calculus as a tool in survival analysis: A review (English)
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1990
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The authors point out recent applications of stochastic calculus, particularly martingale central limit theory, to the asymptotic analysis of estimators and test statistics in risk problems. They show that stochastic process theory can be accessed here by considering the associated counting process as a solution of a stochastic differential equation involving a censoring process and a martingale.
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survey
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survival analysis
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Nelson-Aalen estimator
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Kaplan-Meier estimator
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Cox's proportional-hazards model
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Aalen's additive-risk model
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goodness-of-fit test
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martingale central limit theory
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risk problems
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associated counting process
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censoring process
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