Maximum Likelihood Estimation

All models in PROC LIFEREG are estimated by the method of maximum likelihood. This section explores some of the basics of ML estimation, with an emphasis on how it handles censored observations. The discussion is not intended to be rigorous. If you want a more complete and careful treatment of ML, you should consult one of the many texts available on the subject. (Kalbfleisch and Prentice, 1980, Chapter 3, gives a more detailed introduction in the context of survival analysis).

ML is a quite general approach to estimation that has become popular in many different areas of application. There are two reasons for this popularity. First, ML produces estimators that have good large-sample properties. Provided that certain ...

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