Asymptotic Theory for the Frailty Model

The frailty model is a generalization of Cox's proportional hazards model which includes a random effect. Nielsen, Gill, Andersen and Sorensen (1992) proposed an EM algorithm to estimate the cumulative baseline hazard and the variance of the random effect. Here the asymptotic distribution of th...

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Bibliographic Details
Published in:The Annals of statistics 1995-02, Vol.23 (1), p.182-198
Main Author: Murphy, S. A.
Format: Article
Language:English
Subjects:
62G05
62M09
Counting processes
Economic models
Estimators
frailty model
Invertibility
Linear transformations
Mathematical functions
Maximum likelihood estimation
Maximum likelihood estimators
Modeling
nonparametric maximum likelihood
Perceptron convergence procedure
random effects
Semi-parametric Inference
Statistical variance
survival analysis
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Description
Summary:The frailty model is a generalization of Cox's proportional hazards model which includes a random effect. Nielsen, Gill, Andersen and Sorensen (1992) proposed an EM algorithm to estimate the cumulative baseline hazard and the variance of the random effect. Here the asymptotic distribution of the estimators is given along with a consistent estimator of the asymptotic variance.
ISSN:0090-5364
2168-8966
DOI:10.1214/aos/1176324462