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Time-dependent coefficients in a Cox-type regression model

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  • Murphy, S. A.
  • Sen, P. K.

Abstract

Estimation 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.

Suggested Citation

  • Murphy, S. A. & Sen, P. K., 1991. "Time-dependent coefficients in a Cox-type regression model," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 153-180, October.
  • Handle: RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180
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    References listed on IDEAS

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    3. Arjas, Elja & Haara, Pentti & Norros, Ikka, 1992. "Filtering the histories of a partially observed marked point process," Stochastic Processes and their Applications, Elsevier, vol. 40(2), pages 225-250, March.
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    5. Böker, Fred & Serfozo, Richard, 1983. "Ordered thinnings of point processes and random measures," Stochastic Processes and their Applications, Elsevier, vol. 15(2), pages 113-132, July.
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    Cited by:

    1. Zahra Mansourvar & Torben Martinussen, 0. "Estimation of average causal effect using the restricted mean residual lifetime as effect measure," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 0, pages 1-13.
    2. Bhattacharjee, Arnab, 2004. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," MPRA Paper 3937, University Library of Munich, Germany.
    3. Bhattacharjee, A., 2004. "A Simple Test for the Absence of Covariate Dependence in Duration Models," Cambridge Working Papers in Economics 0401, Faculty of Economics, University of Cambridge.
    4. Li, Jianbo & Zhang, Riquan, 2011. "Partially varying coefficient single index proportional hazards regression models," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 389-400, January.
    5. Bhattacharjee, Arnab, 2004. "Estimation in hazard regression models under ordered departures from proportionality," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 517-536, October.
    6. Loki Natarajan & John O'Quigley, 2002. "Predictive capability of stratified proportional hazards models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(8), pages 1153-1163.
    7. Bhattacharjee, A. & Samarjit Das, 2002. "Testing Proportionality in Duration Models with Respect to Continuous Covariates," Cambridge Working Papers in Economics 0220, Faculty of Economics, University of Cambridge.
    8. Chin-Tsang Chiang, 2011. "A more flexible joint latent model for longitudinal and survival time data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(2), pages 151-170, March.
    9. repec:spr:lifeda:v:23:y:2017:i:3:d:10.1007_s10985-016-9366-z is not listed on IDEAS
    10. Arnab Bhattacharjee, 2009. "Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity," Discussion Paper Series, Department of Economics 200904, Department of Economics, University of St. Andrews.
    11. Chin-Tsang Chiang & Mei-Cheng Wang, 2009. "Varying-coefficient model for the occurrence rate function of recurrent events," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 61(1), pages 197-213, March.
    12. Bhattacharjee, Arnab & Han, Jie, 2014. "Financial distress of Chinese firms: Microeconomic, macroeconomic and institutional influences," China Economic Review, Elsevier, vol. 30(C), pages 244-262.
    13. Osman, Muhtarjan & Ghosh, Sujit K., 2012. "Nonparametric regression models for right-censored data using Bernstein polynomials," Computational Statistics & Data Analysis, Elsevier, vol. 56(3), pages 559-573.
    14. Arnab Bhattacharjee & Chris Higson & Sean Holly & Paul Kattuman, 2007. "Macroeconomic Conditions and Business Exit: Determinants of Failures and Acquisitions of UK Firms," CDMA Working Paper Series 200713, Centre for Dynamic Macroeconomic Analysis.
    15. Arnab Bhattacharjee, 2005. "Models of Firm Dynamics and the Hazard Rate of Exits: Reconciling Theory and Evidence using Hazard Regression Models," Econometrics 0503021, EconWPA.
    16. Bianca Teodorescu & Ingrid Keilegom & Ricardo Cao, 2010. "Generalized time-dependent conditional linear models under left truncation and right censoring," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(3), pages 465-485, June.

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