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Uniform moment bounds for the standard estimators in the Cox proportional hazard model

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  • Cécile Durot
  • Eni Musta

Abstract

We consider the Cox regression model and show that the regression parameter estimator and the Breslow estimator for the cumulative hazard have uniformly bounded moments of any order if we restrict to a sequence of events with probability converging to one. These results are needed, for example, when studying global errors of shape restricted estimators of the baseline hazard function.

Suggested Citation

  • Cécile Durot & Eni Musta, 2022. "Uniform moment bounds for the standard estimators in the Cox proportional hazard model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(21), pages 7452-7464, November.
    • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:21:p:7452-7464
    DOI: 10.1080/03610926.2021.1873376
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