Abstract
This paper develops an approximation formula for the asymptotic relative efficiency of the partial likelihood estimator in the proportional hazard model of Cox (1972). It extends the results of Kabfleisch (1974) and Kay (1979) to multiple covariates, censorings, and a general form of baseline hazard. It finds, in particular, that the efficiency of the partial likelihood estimator increases as the complexity of the baseline hazard or the severity of the censoring increase in the model.
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