Estimation in a Cox regression model with a change-point according to a threshold in a covariate

We consider a nonregular Cox model for independent and identically distributed right censored survival times, with a change-point according to the unknown threshold of a covariate. The maximum partial likelihood estimators of the parameters and the estimator of the baseline cumulative hazard are studied. We prove that the estimator of the change-point is n-consistent and the estimator of the regression parameters are n(1/2)-consistent, and we establish the asymptotic distributions of the estimators. The estimators of the regression parameters and of the baseline cumulative hazard are adaptive in the sense that they do not depend on the knowledge of the change-point.