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Poisson surrogate for an uncensored proportional-hazards likelihood

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Survival analysis Proportional hazards model
2026-10-03  0 By others on same topic  0 Discussions Create my own version
For independent uncensored event times Yi​ with hi​(t)=λ(t)eβTxi​ and baseline cumulative hazard Λ(t)=∫0t​λ(s)ds, maximizing the survival log likelihood over β is equivalent to fitting a Poisson regression with unit responses and means
μi​=Λ(Yi​)eβTxi​.
(1)
Thus a log-link generalized linear model with response 1, linear predictor βTxi​, and offset logΛ(Yi​) gives the same estimate of β.

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  • Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 1 / 13J / c / Solution

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