Asymptotic Theory for the Frailty Model

1995/02/01 by Susan A. Murphy, S. A. Murphy · 1 citation
Economics, Econometrics and Finance · Mathematics · Social Sciences · #Health Systems, Economic Evaluations, Quality of Life #Insurance, Mortality, Demography, Risk Management #Statistical Methods and Inference

paper · pdf · doi:10.1214/aos/1176324462

openalex publication_date 1995/02/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

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.

Citations

• The impact of heterogeneity in individual frailty on the dynamics of mortality

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