Towards a general asymptotic theory for Cox model with staggered entry (Q1359419)

The work of several authors on proportional hazards models is generalized under more practical and complex conditions. The authors consider the following situation: There are potentially infinitely many individuals, with whom are attached entry times \(\tau_i\) \((\geq 0)\), failure times \(T_i\) \((\geq 0)\), censoring times \(C_i\) \((\geq 0)\), and \(p\times 1\) covariate vector processes \(Z_i\). Let \((\tau_i,T_i, C_i,Z_i')\) be independent random vectors and suppose that the conditional hazard rate of \(T_i\) at \(s\), given \(\tau_i\), \(C_i\), and \(Z_i(u)\), \(u\leq s\), is \(\exp (\beta'Z_i(s) \lambda_0(s))\), where \(\lambda_0\) is the baseline hazard function and \(\beta\) is an unknown parameter vector. Also, suppose that only \(n\) of the \(\tau_i\)'s \((i=1,2,\dots,n)\) are being sampled, and \(\tau_i\) need not be ordered. Moreover, let \(t\) be the calendar time and \(s\) the survival time \((t\geq s)\), and the \(i\)th individual's failure time \(T_i\) be censored by \(C_i\wedge(t-\tau_i)^+\) where \(\wedge\) denotes minimum and + is the positive part. Let \(\overline T_i(t)=T_i\wedge C_i\wedge(t-\tau_i)^+\), \(N_i (t, s)=I\{T_i\leq C_i\wedge (t-\tau_i)^+ \wedge s\}\), and \(Y_i(t,s)= I\{ \overline T_i(t)\geq s\}\), where \(I\) is the usual indicator function. Let \[ \overline Z( \beta;t,s)= \sum^n_{i=1}Z_i(s) \exp\bigl(\beta'Z_i(s) \bigr) Y_i(t,s)/ \sum^n_{i =1}\exp \bigl(\beta'Z_i(s)\bigr) Y_i(t,s), \] and let a two-parameter score process be defined by \[ U(\beta;t,s) =\sum^n_{i=1} \int^s_0 \bigl[Z_i(u)- \overline Z(\beta;t,u)\bigr]N_i(t,du). \] The authors derive functional limit theorems for the basic process \(n^{-1/2}U(\beta;\,,\,)\) under the null hypothesis \((\beta=\beta_0)\) and the contiguous alternatives \((\beta= \beta_0+b/ \sqrt n)\), and for the corresponding maximum partial likelihood estimator. These results extend the works of \textit{T. Sellke} and \textit{D. Siegmund} [Biometrika 70, 315--326 (1983; Zbl 0528.62068)] and \textit{M. G. Gu} and \textit{T. L. Lai} [Ann. Stat. 19, No. 3, 1403--1433 (1991; Zbl 0762.62020)].