Semiparametric efficient estimation of the Cox regression coefficient when there can be ties

Abstract

The Cox model and the Cox regression coefficient are widely used in applied work, although the corresponding statistical theory is principally developed in the continuous case where there can be no tied failure times. In this work, we derive the efficiency bound of the Cox regression coefficient in the Cox model, without imposing continuity or discreteness assumptions on the failure distribution. Then, under a technical assumption that the population failure mass points belong to an unknown finite set, we show that the ``exact'' estimator in \citet{cox1972regression} is asymptotically efficient. Next, we propose an asymptotically equivalent estimator which solves the efficient score which has lower computational complexity than the exact Cox score. The development employs recently introduced martingale theory, and throughout examples of the general theory are given for both the absolutely continuous case and the discrete case.