Computing Estimates in the Proportional Odds Model |
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Authors: | David R Hunter Kenneth Lange |
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Institution: | (1) Department of Statistics, Penn State University, University Park, PA, 16802-2111, U.S.A.;(2) Departments of Biomathematics and Human Genetics, UCLA School of Medicine, Los Angeles, CA, 90024, U.S.A |
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Abstract: | The semiparametric proportional odds model for survival data is useful when mortality rates of different groups converge over time. However, fitting the model by maximum likelihood proves computationally cumbersome for large datasets because the number of parameters exceeds the number of uncensored observations. We present here an alternative to the standard Newton-Raphson method of maximum likelihood estimation. Our algorithm, an example of a minorization-maximization (MM) algorithm, is guaranteed to converge to the maximum likelihood estimate whenever it exists. For large problems, both the algorithm and its quasi-Newton accelerated counterpart outperform Newton-Raphson by more than two orders of magnitude. |
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Keywords: | Majorization MM algorithm proportional odds Newton-Raphson quasi-Newton survival analysis |
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