Linear and quadratic functionals of random hazard rates: An asymptotic analysis

DOI10.1214/07-AAP509zbMATH Open1153.60028arXivmath/0611652OpenAlexW2101727621MaRDI QIDQ957525FDOQ957525

Authors: Giovanni Peccati, I. Prünster 

Publication date: 27 November 2008

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

Abstract: A popular Bayesian nonparametric approach to survival analysis consists in modeling hazard rates as kernel mixtures driven by a completely random measure. In this paper we derive asymptotic results for linear and quadratic functionals of such random hazard rates. In particular, we prove central limit theorems for the cumulative hazard function and for the path-second moment and path-variance of the hazard rate. Our techniques are based on recently established criteria for the weak convergence of single and double stochastic integrals with respect to Poisson random measures. We illustrate our results by considering specific models involving kernels and random measures commonly exploited in practice.

Full work available at URL: https://arxiv.org/abs/math/0611652

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zbMATH Keywords

asymptoticsBayesian nonparametricscentral limit theoremsurvival analysiscompletely random measurepath-variancerandom hazard ratemultiple Wiener-Itô integral

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Random measures (60G57)

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