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On scale Fisher consistency of maximum likelihood estimator for the exponential regression model under arbitrary frailty

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  • Bednarski, Tadeusz
  • Skolimowska-Kulig, Magdalena

Abstract

It is demonstrated that the mle for the exponential regression model is Fisher consistent up to a scale factor under arbitrary frailty, a large class of cumulated hazards and normal regressors. Comparative simulations show good properties of the estimator.

Suggested Citation

  • Bednarski, Tadeusz & Skolimowska-Kulig, Magdalena, 2019. "On scale Fisher consistency of maximum likelihood estimator for the exponential regression model under arbitrary frailty," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 9-12.
    • Handle: RePEc:eee:stapro:v:150:y:2019:i:c:p:9-12
    DOI: 10.1016/j.spl.2019.02.002
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    References listed on IDEAS

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    1. Stoker, Thomas M, 1986. "Consistent Estimation of Scaled Coefficients," Econometrica, Econometric Society, vol. 54(6), pages 1461-1481, November.
    2. James Vaupel & Kenneth Manton & Eric Stallard, 1979. "The impact of heterogeneity in individual frailty on the dynamics of mortality," Demography, Springer;Population Association of America (PAA), vol. 16(3), pages 439-454, August.
    3. Ruud, Paul A, 1983. "Sufficient Conditions for the Consistency of Maximum Likelihood Estimation Despite Misspecifications of Distribution in Multinomial Discrete Choice Models," Econometrica, Econometric Society, vol. 51(1), pages 225-228, January.
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