Local partial-likelihood estimation for lifetime data

DOI10.1214/009053605000000796MaRDI QIDQ123405zbMATH OpenOpenAlexFDO

Authors Jianqing Fan, Huazhen Lin, Yong Zhou, Huazhen Lin, Yong Zhou, Jianqing Fan

Publication date 1 February 2006

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0605511

zbMATH Keywords

variable selectionproportional hazards modellocal partial likelihoodone-step estimationoracle propertyvarying coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Censored data models (62N01) Estimation in survival analysis and censored data (62N02)

Abstract: This paper considers a proportional hazards model, which allows one to examine the extent to which covariates interact nonlinearly with an exposure variable, for analysis of lifetime data. A local partial-likelihood technique is proposed to estimate nonlinear interactions. Asymptotic normality of the proposed estimator is established. The baseline hazard function, the bias and the variance of the local likelihood estimator are consistently estimated. In addition, a one-step local partial-likelihood estimator is presented to facilitate the computation of the proposed procedure and is demonstrated to be as efficient as the fully iterated local partial-likelihood estimator. Furthermore, a penalized local likelihood estimator is proposed to select important risk variables in the model. Numerical examples are used to illustrate the effectiveness of the proposed procedures.

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