Cox's Regression Model for Counting Processes: A Large Sample Study

1982/12/01 by P. Andersen, P. K. Andersen, R. D. Gill +1 · 40 citations
Mathematics · Social Sciences · #Statistical Distribution Estimation and Applications #Insurance, Mortality, Demography, Risk Management #Statistical Methods and Inference

paper · doi:10.1214/aos/1176345976

Abstract

The Cox regression model for censored survival data specifies that covariates have a proportional effect on the hazard function of the life-time distribution of an individual. In this paper we discuss how this model can be extended to a model where covariate processes have a proportional effect on the intensity process of a multivariate counting process. This permits a statistical regression analysis of the intensity of a recurrent event allowing for complicated censoring patterns and time dependent covariates. Furthermore, this formulation gives rise to proofs with very simple structure using martingale techniques for the asymptotic properties of the estimators from such a model. Finally an example of a statistical analysis is included.

Citations

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