A Cox-type regression model with change-points in the covariates.
We consider a Cox-type regression model with change-points in the covariates. A change-point specifies the unknown threshold at which the influence of a covariate shifts smoothly, i.e., the regression parameter may change over the range of a covariate and the underlying regression function is continuous but not differentiable. The model can be used to describe change-points in different covariates but also to model more than one change-point in a single covariate. Estimates of the change-points and of the regression parameters are derived and their properties are investigated. It is shown that not only the estimates of the regression parameters are square root n-consistent but also the estimates of the change-points in contrast to the conjecture of other authors. Asymptotic normality is shown by using results developed for M-estimators. At the end of this paper we apply our model to an actuarial dataset, the PBC dataset of Fleming and Harrington (Counting processes and survival analysis, 1991) and to a dataset of electric motors.
Jensen
Uwe
U
Institut für Angewandte Mathematik und Statistik, Universität Hohenheim, 70593 Stuttgart, Germany. Prof.Uwe.Jensen@uni-hohenheim.de
Lütkebohmert
Constanze
C
D003627:Data Interpretation, Statistical; D006801:Humans; D007346:Insurance, Accident; D016016:Proportional Hazards Models; D016019:Survival Analysis