Simulation study for misspecifications on a frailty model

Nielsen, G.G.; Gill, R.D.; Andersen, P.K.; Sorensen, T.I.A. (1992) A Counting Process Approach to Maximum Likelihood Estimation in Frailty Models. {\it Scandinavian Journal of Statistics} {\bf 19}:25--43 propose a consistent and asymptotically normal estimator for the variance of the frailty distribution under gamma assumption. A simulation study shows that this estimator is asymptotically biased for log-normal and normal frailty distributions.