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Survival Model Inference Using Functions of Brownian Motion

DOI: 10.4236/am.2012.36098, PP. 641-651

Keywords: Brownian Motion, Brownian Bridge, Cox Model, Integrated Brownian Motion, Kaplan-Meier Estimate, Non-Proportional Hazards, Reflected Brownian Motion, Time-Varying Effects, Weighted Score Equation

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Abstract:

A family of tests for the presence of regression effect under proportional and non-proportional hazards models is described. The non-proportional hazards model, although not completely general, is very broad and includes a large number of possibilities. In the absence of restrictions, the regression coefficient, β(t), can be any real function of time. When β(t) = β, we recover the proportional hazards model which can then be taken as a special case of a non-proportional hazards model. We study tests of the null hypothesis; H0:β(t) = 0 for all t against alternatives such as; H1:∫β(t)dF(t) ≠ 0 or H1:β(t) ≠ 0 for some t. In contrast to now classical approaches based on partial likelihood and martingale theory, the development here is based on Brownian motion, Donsker’s theorem and theorems from O’Quigley [1] and Xu and O’Quigley [2]. The usual partial likelihood score test arises as a special case. Large sample theory follows without special arguments, such as the martingale central limit theorem, and is relatively straightforward.

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