Bootstrapping a change-point Cox model for survival data

This paper investigates the (in)-consistency of various bootstrap methods for making inference on a change-point in time in the Cox model with right censored survival data. A criterion is established for the consistency of any bootstrap method. It is shown that the usual nonpara-metric bootstrap is inconsistent for the maximum partial likelihood estimation of the change-point. A new model-based bootstrap approach is proposed and its consistency established. Simulation studies are carried out to assess the performance of various bootstrap schemes.