Maximum likelihood estimation for conditional distribution single-index models under censoring

DOI10.1016/J.JMVA.2012.07.012MaRDI QIDQ1931855zbMATH OpenOpenAlexWikidataFDO

Authors Ewa Strzalkowska-Kominiak, Ricardo Cao

Publication date 16 January 2013

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.07.012

zbMATH Keywords

conditional density functioncredit riskkernel estimationsurvival analysis

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Censored data models (62N01) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Non-parametric estimation of the covariate-dependent bivariate distribution for censored gap times
• Conditional likelihood based inference on single-index models for motor insurance claim severity
• Nonparametric conditional survival function estimation and plug-in bandwidth selection with multiple covariates
• Statistical inference for counting processes under shape heterogeneity
• Optimal transport convergence of conditional distribution estimation for single-indexed locally stationary functional time series

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