  In a survival analysis context we suggest a new method to estimate the
piecewise constant hazard rate model. The method provides an automatic
procedure to find the number and location of cut points and to estimate the
hazard on each cut interval. Estimation is performed through a penalized
likelihood using an adaptive ridge procedure. A bootstrap procedure is proposed
in order to derive valid statistical inference taking both into account the
variability of the estimate and the variability in the choice of the cut
points. The new method is applied both to simulated data and to the Mayo Clinic
trial on primary biliary cirrhosis. The algorithm implementation is seen to
work well and to be of practical relevance.
