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Time-dependent coefficients in a Cox-type regression model

Author

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  • Murphy, S. A.
  • Sen, P. K.

Abstract

Estimation of a time-varying coefficient in a Cox-type parameterization of the stochastic intensity of a point process is considered. A sieve estimation procedure (Grenander, 1981) is used to estimate the coefficient. A rate of convergence in probability for the sieve estimator is given and a functional CLT for the integrated sieve estimator is proved.

Suggested Citation

  • Murphy, S. A. & Sen, P. K., 1991. "Time-dependent coefficients in a Cox-type regression model," Stochastic Processes and their Applications, Elsevier, vol. 39(1), pages 153-180, October.
    • Handle: RePEc:eee:spapps:v:39:y:1991:i:1:p:153-180
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