Stochastic Calculus and Survival Analysis

reportActive / Technical Report | Accession Number: ADA197324 | Open PDF

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, Coxs proportional hazards model, Aalens additive risk model and a goodness-of-fit test for Coxs model are discussed. Sketches of the proofs of the main results are included. Keywords Counting processes, Martingale methods.

Author(s):
Mckeague, Ian W. ; Utikal, Klaus J.
Author Organization(s):
FLORIDA STATE UNIV TALLAHASSEE DEPT OF STATISTICS
Descriptive Note:
Technical rept.
Pagination:
0023

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release
Distribution Statement:
Approved For Public Release; Distribution Is Unlimited.

RECORD

Collection: TR
Identifying Numbers
Report Number(s):
FSU-TR-M790, TR-D102-ARO
Contract/Grant Number(s):
DAAL03-86-K-0094
Monitor Series:
23699.18-MA, ARO
 Subject Terms
Joint Capability Areas:
JCA_5_Command and Control; JCA_5.3_Planning; JCA_1.2.3_Educating; JCA_1.3.2_Personnel Management
Modernization Areas:
AI and Machine Learning
Communities of Interest:
No COI(s) Identified
Descriptor(s):
*STOCHASTIC PROCESSES, *CALCULUS, STATISTICAL TESTS, THEORY, COUNTING METHODS, NORMAL DISTRIBUTION, ESTIMATES, LIMITATIONS, ADDITIVES, ASYMPTOTIC NORMALITY, HAZARDS, RISK, SURVIVAL(GENERAL)
Field(s)/Group(s):
Statistics and Probability
Keyword(s):
MARTINGALES
Report Date:
1988 Jun 01