A Cox-type regression model with change-points in the covariates

Lifetime Data Anal. 2008 Sep;14(3):267-85. doi: 10.1007/s10985-008-9083-3. Epub 2008 Jan 26.


We consider a Cox-type regression model with change-points in the covariates. A change-point specifies the unknown threshold at which the influence of a covariate shifts smoothly, i.e., the regression parameter may change over the range of a covariate and the underlying regression function is continuous but not differentiable. The model can be used to describe change-points in different covariates but also to model more than one change-point in a single covariate. Estimates of the change-points and of the regression parameters are derived and their properties are investigated. It is shown that not only the estimates of the regression parameters are square root n-consistent but also the estimates of the change-points in contrast to the conjecture of other authors. Asymptotic normality is shown by using results developed for M-estimators. At the end of this paper we apply our model to an actuarial dataset, the PBC dataset of Fleming and Harrington (Counting processes and survival analysis, 1991) and to a dataset of electric motors.

MeSH terms

  • Data Interpretation, Statistical*
  • Humans
  • Insurance, Accident
  • Proportional Hazards Models*
  • Survival Analysis*