Semiparametric estimation of a proportional hazard model with unobserved heterogeneity
Semiparametric estimation of a proportional hazard model with unobserved heterogeneity
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DOI：
10.1111/1468-0262.00068
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发表时间：
1999-09-01
期刊：
影响因子：
6.1
通讯作者：
Horowitz, JL
中科院分区：
文献类型：
--
作者：
Horowitz, JL
具有未观察到异质性的比例风险模型给出了一个随机变量的风险函数，该随机变量以协变量为条件，第二个随机变量表示未观察到的异质性。本文介绍了如何非参数地估计基线风险函数和未观测异质性的分布。假设基线危险函数和异质性分布满足平滑条件，但不假设它们属于已知的有限维参数族。现有的估计器假设基线危险函数或异质性分布属于已知的参数族。因此，本文给出的估计器比现有的估计器更通用。
The proportional hazard model with unobserved heterogeneity gives the hazard function of a random variable conditional on covariates and a second random variable representing unobserved heterogeneity. This paper shows how to estimate the baseline hazard function and the distribution of the unobserved heterogeneity nonparametrically. The baseline hazard function and heterogeneity distribution are assumed to satisfy smoothness conditions but are not assumed to belong to known, finite-dimensional, parametric families. Existing estimators assume that the baseline hazard function or heterogeneity distribution belongs to a known parametric family. Thus, the estimators presented here are more general than existing ones.