Scaled Fisher consistency of the partial likelihood estimator in the Cox model with arbitrary frailty
estimator in the Cox model with arbitrary frailty
Tadeusz Bednarski
Piotr B. Nowak
Abstract:
It is argued that inference based on the Cox regression model and the partial likelihood estimator
is possible for various extensions of the model, which in particular include an arbitrary frailty variable.
We demonstrate that the estimator in such a general setup is Fisher consistent up to a scaling factor under
symmetry type distributional assumptions on explanatory variables. A simulation experiment shows exemplary
behaviour of the estimator and also of a test of fit based on the Anderson–Darling statistic for different Cox model extensions.
2010 AMS Mathematics Subject Classification: Primary 62N01; Secondary 62F12.
Keywords and phrases: Cox model, frailty models, Fisher consistency.