EFFICIENT ESTIMATION FOR AN ACCELERATED FAILURE TIME MODEL WITH A CURE FRACTION

Stat Sin. 2010:20:661-674.

Abstract

We study the accelerated failure time model with a cure fraction via kernel-based nonparametric maximum likelihood estimation. An EM algorithm is developed to calculate the estimates for both the regression parameters and the unknown error density, in which a kernel-smoothed conditional profile likelihood is maximized in the M-step. We show that with a proper choice of the kernel bandwidth parameter, the resulting estimates are consistent and asymptotically normal. The asymptotic covariance matrix can be consistently estimated by inverting the empirical Fisher information matrix obtained from the profile likelihood using the EM algorithm. Numerical examples are used to illustrate the finite-sample performance of the proposed estimates.