A Z-theorem with Estimated Nuisance Parameters and Correction Note for ‘Weighted Likelihood for Semiparametric Models and Two-phase Stratified Samples, with Application to Cox Regression’


Norman E. Breslow, Department of Biostatistics, University of Washington, Box 357232, Seattle, WA 98195-7232, USA.
E-mail: norm@u.washington.edu


Abstract.  We state and prove a limit theorem for estimators of a general, possibly infinite dimensional parameter based on unbiased estimating equations containing estimated nuisance parameters. The theorem corrects a gap in the proof of one of the assertions of our paper ‘Weighted likelihood for semiparametric models and two-phase stratified samples, with application to Cox regression’ [Scand. J. Statist. 34 (2007) 86–102].