کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1148172 1489772 2014 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Maximum likelihood estimation for left-censored survival times in an additive hazard model
ترجمه فارسی عنوان
برآورد حداکثر احتمال برای زمان بقا چپ سانسور در یک مدل خطر اضافی
کلمات کلیدی
سانسور چپ، حداکثر پارامتریک احتمال، عادی همبستگی، متغیر وابسته به زمان، خطر اضافی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی


• Consistency of the maximum likelihood estimator for left-censored survival times.
• Asymptotic normality of the maximum likelihood estimator for left-censored survival times.
• Statistical inference for left-censored survivals times by concavity of likelihood.
• Include time-dependent covariates in additive hazard model.

Motivated by an application from finance, we study randomly left-censored data with time-dependent covariates in a parametric additive hazard model. As the log-likelihood is concave in the parameter, we provide a short and direct proof of the asymptotic normality for the maximal likelihood estimator by applying a result for convex processes from Hjort and Pollard (1993). The technique also yields a new proof for right-censored data. Monte Carlo simulations confirm the nominal level of the asymptotic confidence intervals for finite samples, but also provide evidence for the importance of a proper variance estimator. In the application, we estimate the hazard of credit rating transition, where left-censored observations result from infrequent monitoring of rating histories. Calendar time as time-dependent covariates shows that the hazard varies markedly between years.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 149, June 2014, Pages 33–45
نویسندگان
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