Consistency of the Semi-parametric MLE under the Cox Model with Right-Censored Data
Qiqing Yu1, *
We studied the consistency of the semi-parametric maximum likelihood estimator (SMLE) under the Cox regression model with right-censored (RC) data.
Consistency proofs of the MLE are often based on the Shannon-Kolmogorov inequality, which requires finite E(lnL), where L is the likelihood function.
Under the Cox model with RC data, E(lnL) may not exist. We used the Kullback-Leibler information inequality in our proof.
* Address correspondence to this author at the Department of Mathematical Sciences, SUNY, Binghamton, NY, 13902, USA; E-mail: firstname.lastname@example.org