Single-index regression models with right-censored responses

DOI10.1016/J.JSPI.2008.06.012MaRDI QIDQ1007489zbMATH OpenOpenAlexFDO

Authors Olivier Lopez

Publication date 20 March 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0803.1112

zbMATH Keywords

dimension reductionsingle-index modelscensored regressionKaplan-Meier estimatorsemi-parametric regression

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Censored data models (62N01)

Abstract: In this article, we propose some new generalizations of M-estimation procedures for single-index regression models in presence of randomly right-censored responses. We derive consistency and asymptotic normality of our estimates. The results are proved in order to be adapted to a wide range of techniques used in a censored regression framework (e.g. synthetic data or weighted least squares). As in the uncensored case, the estimator of the single-index parameter is seen to have the same asymptotic behavior as in a fully parametric scheme. We compare these new estimators with those based on the average derivative technique of Burke and Lu (2005) through a simulation study.

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Cited in

(16)

• Single index regression models in the presence of censoring depending on the covariates
• High-dimensional single-index models with censored responses
• Conditional density estimation in a censored single-index regression model
• Vector quantization and clustering in the presence of censoring
• Multivariate partially linear single-index models: Bayesian analysis
• Estimation of single-index models with fixed censored responses
• Semiparametric copula models applied to the decomposition of claim amounts
• Maximum likelihood estimation for conditional distribution single-index models under censoring
• Weighted estimation of single index models with right censored responses
• Varying coefficient models having different smoothing variables with randomly censored data
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• Versatile estimation in censored single-index hazards regression
• On the robust regression for a censored response data in the single functional index model
• Expert Kaplan–Meier estimation

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