Fitting parametric survival models with time-dependent covariates

This paper shows (a) how the Gauss‐Newton method for nonlinear least squares estimation can be used to estimate any fully parameteric survival model by the method of maximum likelihood; (b) how the algorithm allows for a flexible treatment of time‐dependent covariates in fully parametric models. An empirical analysis of the duration of jobs illustrates the use of the algorithm. The data are taken from The Norwegian Life History Study for Men.

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