Stochastic Calculus and Survival Analysis

Abstract

This paper gives a brief survey of the uses of stochastic calculus in survival analysis. The role played by martingale central limit theory in deriving asymptotic distributions of estimators and test statistics is described. The Nelson-Aalen estimator, Kaplan-Meier estimator, Cox's proportional hazards model, Aalen's additive risk model and a goodness-of-fit test for Cox's model are discussed. Sketches of the proofs of the main results are included. Keywords: Counting processes, Martingale methods.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1988
Accession Number
ADA197324

Entities

People

  • Ian W. Mckeague
  • Klaus J. Utikal

Organizations

  • Florida State University

Tags

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Calculus
  • Data Science
  • Differential Equations
  • Equations
  • Estimators
  • Goodness Of Fit Tests
  • Information Science
  • Mathematics
  • Random Variables
  • Regression Analysis
  • Statistical Algorithms
  • Statistical Analysis
  • Statistical Inference
  • Statistics
  • Stochastic Processes
  • Surveys

Fields of Study

  • Mathematics

Readers

  • Statistical inference.
  • Theoretical Analysis.