Local partial likelihood estimation in proportional hazards regression

DOI10.1214/009053606000001299MaRDI QIDQ995433zbMATH OpenOpenAlexFDO

Authors Songnian Chen, Lingzhi Zhou

Publication date 3 September 2007

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

Full work available at URL https://arxiv.org/abs/0708.2150

zbMATH Keywords

relative risklocal partial likelihoodtreatment effectsasymptotic propertystatistical inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in survival analysis and censored data (62N02) Martingales with continuous parameter (60G44)

Abstract: Fan, Gijbels and King [Ann. Statist. 25 (1997) 1661--1690] considered the estimation of the risk function $psi(x)$ in the proportional hazards model. Their proposed estimator is based on integrating the estimated derivative function obtained through a local version of the partial likelihood. They proved the large sample properties of the derivative function, but the large sample properties of the estimator for the risk function itself were not established. In this paper, we consider direct estimation of the relative risk function $psi(x_2)-psi(x_1)$ for any location normalization point $x_1$. The main novelty in our approach is that we select observations in shrinking neighborhoods of both $x_1$ and $x_2$ when constructing a local version of the partial likelihood, whereas Fan, Gijbels and King [Ann. Statist. 25 (1997) 1661--1690] only concentrated on a single neighborhood, resulting in the cancellation of the risk function in the local likelihood function. The asymptotic properties of our estimator are rigorously established and the variance of the estimator is easily estimated. The idea behind our approach is extended to estimate the differences between groups. A simulation study is carried out.

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