Inference under right censoring for transformation models with a change-point based on a covariate threshold

DOI10.1214/009053606000001244zbMATH Open1136.62376arXivmath/0604043OpenAlexW1989225458MaRDI QIDQ2642736FDOQ2642736

Rui Song, Michael R. Kosorok

Publication date: 4 September 2007

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

Abstract: We consider linear transformation models applied to right censored survival data with a change-point based on a covariate threshold. We establish consistency and weak convergence of the nonparametric maximum lieklihood estimators. The change-point parameter is shown to be $n$-consistent, while the remaining parameters are shown to have the expected root-$n$ consistency. We show that the procedure is adaptive in the sense that the non-threshold parameters are estimable with the same precision as if the true threshold value were known. We also develop Monte-Carlo methods of inference for model parameters and score tests for the existence of a change-point. A key difficulty here is that some of the model parameters are not identifiable under the null hypothesis of no change-point. Simulation students establish the validity of the proposed score tests for finite sample sizes.

Full work available at URL: https://arxiv.org/abs/math/0604043

zbMATH Keywords

right censoringsemiparametric efficiencyproportional hazards modelproportional odds modelempirical processesnonparametric maximum likelihoodchange-point modelstransformation models

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) Monte Carlo methods (65C05) Testing in survival analysis and censored data (62N03)

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