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December, 1990 A Survey of Product-Integration with a View Toward Application in Survival Analysis
Richard D. Gill, Soren Johansen
Ann. Statist. 18(4): 1501-1555 (December, 1990). DOI: 10.1214/aos/1176347865


The correspondence between a survival function and its hazard or failure-rate is a central idea in survival analysis and in the theory of counting processes. This correspondence is shown to be a special case of a more general correspondence between multiplicative and additive matrix-valued measures on the real line. Additive integration of the survival function produces the hazard, while the multiplicative integral, or so-called product-integral, of the hazard yields the survival function. The easy generalization to the matrix case (noncommutative multiplication) allows an elegant and completely parallel treatment of intensity measures of Markov processes, with many possible applications in multistate survival models. However, the difficulties and multiplicity of theories of product-integration in multivariate time explain why so many different multivariate product-limit estimators exist. We give a complete and elementary treatment of the basic theory of the product-integral $\pi(1 + dX)$ together with a discussion of some of its applications. New results are given on the compact differentiability of the product-integral, to be used along with the functional $\delta$-method for getting large-sample results for product-limit estimators.


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Richard D. Gill. Soren Johansen. "A Survey of Product-Integration with a View Toward Application in Survival Analysis." Ann. Statist. 18 (4) 1501 - 1555, December, 1990.


Published: December, 1990
First available in Project Euclid: 12 April 2007

zbMATH: 0718.60087
MathSciNet: MR1074422
Digital Object Identifier: 10.1214/aos/1176347865

Primary: 60J27
Secondary: 45D05 , 60H20 , 62G05

Keywords: branching processes , compact (Hadamard) differentiability , Doleans-Dade exponential semimartingale , Duhamel equation , intensity measure , Kolmogorov forward and backward equations , Markov process , Multiplicative integral , product-limit (Kaplan-Meier) estimator , Volterra integral equation

Rights: Copyright © 1990 Institute of Mathematical Statistics


Vol.18 • No. 4 • December, 1990
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