Asymptotic Theory for the Frailty Model

S. A. Murphy

doi:10.1214/aos/1176324462

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Home > Journals > Ann. Statist. > Volume 23 > Issue 1 > Article

February, 1995 Asymptotic Theory for the Frailty Model

S. A. Murphy

Ann. Statist. 23(1): 182-198 (February, 1995). DOI: 10.1214/aos/1176324462

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Abstract

The frailty model is a generalization of Cox's proportional hazards model which includes a random effect. Nielsen, Gill, Andersen and Sorensen (1992) proposed an EM algorithm to estimate the cumulative baseline hazard and the variance of the random effect. Here the asymptotic distribution of the estimators is given along with a consistent estimator of the asymptotic variance.