Estimation in a Cox Regression Model With a Change-Point at an Unknown Time

@article{Pons2002EstimationIA,
  title={Estimation in a Cox Regression Model With a Change-Point at an Unknown Time},
  author={O. Pons},
  journal={Statistics},
  year={2002},
  volume={36},
  pages={101 - 124}
}
  • O. Pons
  • Published 2002
  • Mathematics
  • Statistics
This paper concerns the asymptotic properties of the maximum likelihood estimators of the parameters in a non regular Cox model involving a change-point in the regression on time-dependent covariates. The global consistency derives from the uniform convergence of the partial log-likelihood. We prove that the estimator of the change-point is n -consistent and the estimator of the regression parameter n 1/2 -consistent, and their asymptotic distributions are established. 
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