Time-dependent coefficients in a Cox-type regression model
AbstractEstimation of a time-varying coefficient in a Cox-type parameterization of the stochastic intensity of a point process is considered. A sieve estimation procedure (Grenander, 1981) is used to estimate the coefficient. A rate of convergence in probability for the sieve estimator is given and a functional CLT for the integrated sieve estimator is proved.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 39 (1991)
Issue (Month): 1 (October)
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