Maximum likelihood inference for multivariate frailty models using an automated Monte Carlo EM algorithm.

@article{Ripatti2002MaximumLI,
  title={Maximum likelihood inference for multivariate frailty models using an automated Monte Carlo EM algorithm.},
  author={Samuli Ripatti and Klaus Larsen and Juni Palmgren},
  journal={Lifetime data analysis},
  year={2002},
  volume={8 4},
  pages={349-60}
}
We present a maximum likelihood estimation procedure for the multivariate frailty model. The estimation is based on a Monte Carlo EM algorithm. The expectation step is approximated by averaging over random samples drawn from the posterior distribution of the frailties using rejection sampling. The maximization step reduces to a standard partial likelihood… CONTINUE READING