Density estimation in the simple proportional hazards model (Q582763)

In the simple proportional hazards model of random right censorship the limiting variance \(V^ 2_{ACL}(x)\) at x of the kernel density estimator based on the Abdushukurov-Cheng-Lin estimator is shown to be equal to the corresponding variance pertaining to the Kaplan-Meier estimator times the expected proportion P of uncensored observations. More surprisingly, for appropriate P, \(V^ 2_{ACL}(x)\) is smaller than the asymptotic variance of the classical kernel estimator based on a complete sample, for any x below the \((1-e^{-1})\)-quantile.