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Smooth backfitting of proportional hazards with multiplicative components

Hiabu, M., Mammen, E., Maria Dolores, M-M. and Nielsen, J. P. ORCID: 0000-0002-2798-0817 (2020). Smooth backfitting of proportional hazards with multiplicative components. Journal of the American Statistical Association, doi: 10.1080/01621459.2020.1753520

Abstract

Smooth backfitting has proven to have a number of theoretical and practical advantages in structured regression. By projecting the data down onto the structured space of interest smooth backfitting provides a direct link between data and estimator. This paper introduces the ideas of smooth backfitting to survival analysis in a proportional hazard model, where we assume an underlying conditional hazard with multiplicative components. We develop asymptotic theory for the estimator. In a comprehensive simulation study we show that our smooth backfitting estimator successfully circumvents the curse of dimensionality and outperforms existing estimators. This is especially the case in difficult situations like high number of covariates and/or high correlation between the covariates, where other estimators tend to break down. We use the smooth backfitter in a practical application where we extend recent advances of in-sample forecasting methodology by allowing more information to be incorporated while still obeying the structured requirements of in-sample forecasting.

Publication Type: Article
Additional Information: This is an Accepted Manuscript of an article published by Taylor & Francis in Journal of the American Statistical Association, published on 18th May 2020: https://www.tandfonline.com/doi/abs/10.1080/01621459.2020.1753520
Subjects: H Social Sciences > HF Commerce
Departments: Cass Business School > Actuarial Science & Insurance
URI: https://openaccess.city.ac.uk/id/eprint/23990
[img] Text - Accepted Version
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