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Asymptotics for sieve estimators of hazard rates: estimating hazard functionals

Abstract:

This paper derives asymptotics for functionals of a hazard model with an exposure-time effect and time-varying covariates. A semi-nonparametric sieve maximum likelihood estimator of a competing risks model based on the Cox proportional hazard is considered. Consistency of the estimator and its rate of convergence in the Fisher norm are derived. These results are prerequisites for asymptotic normality of plug-in estimators of hazard functionals. This provides an inference procedure for a large...

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Publication status:
Published

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Publisher:
University of Oxford
Series:
Department of Economics Discussion Paper Series
Publication date:
2015-10-05
Paper number:
760
Keywords:
Pubs id:
1143634
Local pid:
pubs:1143634
Deposit date:
2020-12-15

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