Two likelihood-based semiparametric estimation methods for panel count data with covariates

DOI10.1214/009053607000000181MaRDI QIDQ142028zbMATHOpenAlexFDO

Authors Jon A. Wellner, Ying Zhang, Jon A. Wellner, Ying Zhang

Publication date 1 October 2007

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

Full work available at URL https://arxiv.org/abs/math/0509132

zbMATH Keywords

asymptotic normalityconsistencymaximum likelihoodasymptotic efficiencyasymptotic distributionscounting processempirical processesinformation matrixmonotone functionsPoisson processpseudo-likelihood estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

Abstract: We consider estimation in a particular semiparametric regression model for the mean of a counting process with ``panel count data. The basic model assumption is that the conditional mean function of the counting process is of the form $$ where $Z$ is a vector of covariates and $Lambd{a}_0$ is the baseline mean function. The ``panel count observation scheme involves observation of the counting process $mathbbN$ for an individual at a random number $K$ of random time points; both the number and the locations of these time points may differ across individuals. We study semiparametric maximum pseudo-likelihood and maximum likelihood estimators of the unknown parameters $$ derived on the basis of a nonhomogeneous Poisson process assumption. The pseudo-likelihood estimator is fairly easy to compute, while the maximum likelihood estimator poses more challenges from the computational perspective. We study asymptotic properties of both estimators assuming that the proportional mean model holds, but dropping the Poisson process assumption used to derive the estimators. In particular we establish asymptotic normality for the estimators of the regression parameter $$ under appropriate hypotheses. The results show that our estimation procedures are robust in the sense that the estimators converge to the truth regardless of the underlying counting process.

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Cited in

(90)

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