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.
- (in)-consistency of bootstrap
- Change-point in time
- M-out-of-n bootstrap
- Non-standard asymptotics
- Smoothed bootstrap