Abstract: | We consider the smoothed maximum likelihood estimator and the smoothed Grenander‐type estimator for a monotone baseline hazard rate λ 0 in the Cox model. We analyze their asymptotic behaviour and show that they are asymptotically normal at rate n m /(2m +1), when λ 0 is m ≥2 times continuously differentiable, and that both estimators are asymptotically equivalent. Finally, we present numerical results on pointwise confidence intervals that illustrate the comparable behaviour of the two methods. |