Sequential estimation for semiparametric models with application to the proportional hazards model

Abstract

In this paper, we show that if the Euclidean parameter of a semiparametric model can be estimated through an estimating function, we can extend straightforwardly conditions by Dmitrienko and Govindarajulu [2000. Ann. Statist. 28 (5), 1472–1501] in order to prove that the estimator indexed by any regular sequence (sequential estimator), has the same asymptotic behavior as the non-sequential estimator. These conditions also allow us to obtain the asymptotic normality of the stopping rule, for the special case of sequential confidence sets. These results are applied to the proportional hazards model, for which we show that after slight modifications, the classical assumptions given by Andersen and Gill [1982. Ann. Statist. 10(4), 1100–1120] are sufficient to obtain the asymptotic behavior of the sequential version of the well-known [Cox, 1972. J. Roy. Statist. Soc. Ser. B (34), 187–220] partial maximum likelihood estimator. To prove this result we need to establish a strong convergence result for the regression parameter estimator, involving mainly exponential inequalities for both continuous martingales and some basic empirical processes. A typical example of a fixed-width confidence interval is given and illustrated by a Monte Carlo study.