Abstract
The frailty model is a generalization of Cox's proportional hazards model which includes a random effect. Nielsen, Gill, Andersen and Sorensen proposed an EM algorithm to estimate the cumulative baseline hazard and the variance of the random effect. Here existence and consistency of the estimators are proved. An example using truncated and censored data is considered.
Citation
S. A. Murphy. "Consistency in a Proportional Hazards Model Incorporating a Random Effect." Ann. Statist. 22 (2) 712 - 731, June, 1994. https://doi.org/10.1214/aos/1176325492
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