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Inference in mixed proportional hazard models with <Emphasis Type="Italic">K</Emphasis> random effects
Authors:Guillaume Horny
Institution:(1) BETA, University Louis Pasteur (Strasbourg I), 61 avenue de la Forêt Noire, Strasbourg Cedex, 67085, France
Abstract:A general formulation of mixed proportional hazard models with K random effects is provided. It enables to account for a population stratified at K different levels. I then show how to approximate the partial maximum likelihood estimator using an EM algorithm. In a Monte Carlo study, the behavior of the estimator is assessed and I provide an application to the ratification of ILO conventions. Compared to other procedures, the results indicate an important decrease in computing time, as well as improved convergence and stability.
Keywords:EM algorithm  Penalized likelihood  Partial likelihood  Frailties  Duration analysis
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