Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 44 / 1 / d / Solution

Differentiating the log-likelihood again givesThus the observed Fisher information for the rate is proportional to the total number of observed events. At a positive interior maximum-likelihood estimator, the large-sample variance estimate and standard error arePrecision is therefore driven by the number of observed events rather than by the number recruited alone. Heavy right censoring can leave a large study with little information about its hazard function. Under the regularity conditions for the Fisher information, the expected information is $\mathbb{E}[D]/{\theta }^2$.

A right-censored observation is not wholly uninformative: its exposure contributes to $E$, changes the maximum-likelihood estimator, and affects the expected number of events under a sampling design. Its contribution $-\theta x_i$ happens to have zero second derivative in this rate parameterization. For example, if no events occur, the likelihood still declines as $e^{-\theta E}$ and disfavors large rates, despite its zero curvature. The usual interior variance approximation is then invalid.