Full and conditional likelihood approaches for hazard change-point estimation with truncated and censored data

Authors:
ílkü Gürler;C. Deniz Yenigün
Affiliations:
Bilkent University, Department of Industrial Engineering, 06800 Ankara, Turkey;Bilkent University, Faculty of Business Administration, 06800 Ankara, Turkey
Venue:
Computational Statistics & Data Analysis
Year:
2011

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Abstract

Hazard function plays an important role in reliability and survival analysis. In some real life applications, abrupt changes in the hazard function may be observed and it is of interest to detect the location and the size of the change. Hazard models with a change-point are considered when the observations are subject to random left truncation and right censoring. For a piecewise constant hazard function with a single change-point, two estimation methods based on the maximum likelihood ideas are considered. The first method assumes parametric families of distributions for the censoring and truncation variables, whereas the second one is based on conditional likelihood approaches. A simulation study is carried out to illustrate the performances of the proposed estimators. The results indicate that the fully parametric method performs better especially for estimating the size of the change, however the difference between the two methods vanish as the sample size increases. It is also observed that the full likelihood approach is not robust to model misspecification.