Abstract
This paper investigates the (in)-consistency of various bootstrap methods for making inference on a change-point in time in the Cox model with right censored survival data. A criterion is established for the consistency of any bootstrap method. It is shown that the usual nonpara-metric bootstrap is inconsistent for the maximum partial likelihood estimation of the change-point. A new model-based bootstrap approach is proposed and its consistency established. Simulation studies are carried out to assess the performance of various bootstrap schemes.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 1345-1379 |
| Number of pages | 35 |
| Journal | Electronic Journal of Statistics |
| Volume | 8 |
| DOIs | |
| State | Published - 2014 |
Bibliographical note
Publisher Copyright:© 2014, Institute of Mathematical Statistics. All rights received.
Keywords
- (in)-consistency of bootstrap
- Change-point in time
- M-out-of-n bootstrap
- Non-standard asymptotics
- Smoothed bootstrap
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