| Abstract: | This paper considers a regression frailty or transformation model in which the structural parameter is the vector of regression coefficients and the nuisance parameter is a vector of arbitrarily high dimension. It proposes jointly (implicitly) defined parameter estimators which have been proved to be consistent and asymptotically efficient, and develops an algorithmic procedure that provides these estimators. The behaviour of the algorithm is illustrated by analysing simulated and real data. |
