Advances and Applications in Statistics
Volume 27, Issue 2, Pages 81 - 95
(April 2012)
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A UNIFIED DEFINITION OF CONDITIONAL EXPECTATION AND ITS APPLICATIONS
IN SURVIVAL ANALYSIS
Changyong Feng, Hongyue Wang and Xin M. Tu
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Abstract: Conditional expectation is widely used in Statistics. However, some confusion has arisen again and again due to the different definitions of conditional expectation. In this paper, we give a unified definition of conditional expectation. This new definition turns out to be able to give simple proofs of tricky results, such as the characterization of time-dependent covariates in survival analysis. It can also be used to clarify some confusing notations widely used in Statistics. |
Keywords and phrases: survival function, time-dependent covariates, frailty model, regression analysis. |
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