On the $L_p$-error of the Grenander-type estimator in the Cox model

Cécile Durot; Eni Musta

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arXiv · 1907.06933

On the $L_p$-error of the Grenander-type estimator in the Cox model

Cécile Durot·Eni Musta

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Abstract

We consider the Cox regression model and study the asymptotic global behavior of the Grenander-type estimator for a monotone baseline hazard function. This model is not included in the general setting of Durot (2007). However, we show that a similar central limit theorem holds for $L_p$-error of the Grenander-type estimator. We also propose a test procedure for a Weibull baseline distribution, based on the $L_p$-distance between the Grenander estimator and a parametric estimator of the baseline hazard. Simulation studies are performed to investigate the performance of this test.

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BibTeX RIS

Cécile Durot, Eni Musta. 2019-07-16. On the $L_p$-error of the Grenander-type estimator in the Cox model. https://arxiv.org/abs/1907.06933

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