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Frailty models that yield proportional hazards

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  • Aalen, Odd O.
  • Hjort, Nils Lid

Abstract

Proportional hazards is commonly assumed in survival analysis. This assumption appears to be mainly a mathematical convenience, made in order to interpret Cox models in a simple manner. There remains the questions of whether this assumption is actually true to reality in a sufficient number of cases, and whether the assumption relates to other ways of modelling survival data. We shall look at the latter issue, in pointing out that certain frailty models may yield proportional hazards in a natural way. We consider frailty distributions determined by Lévy processes. In our framework, the hazard ratio may be interpreted as the ratio between the squared coefficients of variation of the frailty distributions.

Suggested Citation

  • Aalen, Odd O. & Hjort, Nils Lid, 2002. "Frailty models that yield proportional hazards," Statistics & Probability Letters, Elsevier, vol. 58(4), pages 335-342, July.
    • Handle: RePEc:eee:stapro:v:58:y:2002:i:4:p:335-342
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    Cited by:

    1. Botosaru, Irene, 2011. "A Duration Model with Dynamic Unobserved Heterogeneity," TSE Working Papers 11-262, Toulouse School of Economics (TSE), revised Nov 2013.
    2. Botosaru, Irene, 2020. "Nonparametric analysis of a duration model with stochastic unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 217(1), pages 112-139.
    3. Abril, Carmen & Sanchez, Joaquin, 2016. "Will they return? Getting private label consumers to come back: Price, promotion, and new product effects," Journal of Retailing and Consumer Services, Elsevier, vol. 31(C), pages 109-116.

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