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Bayesian estimation of a proportional hazards model for double-censored durations
Authors:Achim Dörre
Affiliation:Department of Economics, University of Rostock, Rostock, Germany
Abstract:Double-censored data consist of uncensored, left- and right-censored observations and occur in survival time analysis. In this paper, parametric Bayes estimation is investigated for a proportional hazards model with durations subject to double-censoring. We prove consistency and asymptotic normality of the posterior mean with the Bernstein–von Mises theorem. In addition, we estimate asymptotic standard errors. A simulation study shows that the finite-sample performance is similar to that of the maximum likelihood estimator. Finally, the proposed model is applied to rating transition data. The analysis suggests that an upgrade of a rating increases the duration in that class by about 10 days on average.
Keywords:Double-censoring  proportional hazard  asymptotic normality  rating class transitions
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