Efficiency of the maximum partial likelihood estimator for nested case control sampling
Goldstein, Larry ; Zhang, Haimeng
Bernoulli, Tome 15 (2009) no. 1, p. 569-597 / Harvested from Project Euclid
In making inference on the relation between failure and exposure histories in the Cox semiparametric model, the maximum partial likelihood estimator (MPLE) of the finite dimensional odds parameter, and the Breslow estimator of the baseline survival function, are known to achieve full efficiency when data is available for all time on all cohort members, even when the covariates are time dependent. When cohort sizes become too large for the collection of complete data, sampling schemes such as nested case control sampling must be used and, under various models, there exist estimators based on the same information as the MPLE having smaller asymptotic variance. ¶ Though the MPLE is therefore not efficient under sampling in general, it approaches efficiency in highly stratified situations, or instances where the covariate values are increasingly less dependent upon the past, when the covariate distribution, not depending on the real parameter of interest, is unknown and there is no censoring. In particular, in such situations, when using the nested case control sampling design, both the MPLE and the Breslow estimator of the baseline survival function achieve the information lower bound both in the distributional and the minimax senses in the limit as the number of cohort members tends to infinity.
Publié le : 2009-05-15
Classification:  highly stratified,  information bound,  semi-parametric models
@article{1241444903,
     author = {Goldstein, Larry and Zhang, Haimeng},
     title = {Efficiency of the maximum partial likelihood estimator for nested case control sampling},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 569-597},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1241444903}
}
Goldstein, Larry; Zhang, Haimeng. Efficiency of the maximum partial likelihood estimator for nested case control sampling. Bernoulli, Tome 15 (2009) no. 1, pp.  569-597. http://gdmltest.u-ga.fr/item/1241444903/