Statistics 745: Lecture 14 Eric B. Laber Department of Statistics, North Carolina State University
March 11, 2012
Review: Cox-Snell residuals I
Basic idea: I I I I
I
X a r.v. with CDF F S(X ) is uniformly distributed on [0, 1] − log S(X ) = Λ(X ) is exponentially distributed with mean 1 Evaluate estimated cumulative hazard on observed data and compare with (censored) exponential distn with mean 1
Cox-Snell for Cox-PH I
Recall we estimated the baseline cumulative hazard Λ0 (t) using ˆ 0 (t) = Λ