The failure of the profile likelihood method for a large class of semi-parametric models

Eric Beutner*, Laurent Bordes, Laurent Doyen

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

We consider a semi-parametric model for recurrent events. The model consists of an unknown hazard rate function, the infinite-dimensional parameter of the model, and a parametrically specified effective age function. We will present a condition on the family of effective age functions under which the profile likelihood function evaluated at the parameter vector θ, say, exceeds the profile likelihood function evaluated at the parameter vector θ , say, with probability p. From this we derive a condition under which profile likelihood inference for the finite-dimensional parameter of the model leads to inconsistent estimates. Examples will be presented. In particular, we will provide an example where the profile likelihood function is monotone with probability one regardless of the true data generating process. We also discuss the relation of our results to other semi-parametric models like the accelerated failure time model and Cox's proportional hazards model.

Original languageEnglish
Pages (from-to)3650-3684
Number of pages35
JournalBernoulli
Volume23
Issue number4B
DOIs
Publication statusPublished - 1 Nov 2017
Externally publishedYes

Keywords

  • Cox's proportional hazards model
  • Eccelerated failure time model
  • Effective age process
  • Profile likelihood inference
  • Recurrent event data
  • Semi-parametric statistical model
  • Virtual age process

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