Robust estimators of accelerated failure time regression with generalized log-gamma errors

DOI10.1016/J.CSDA.2016.10.012zbMATH Open1466.62014arXiv1512.01473OpenAlexW2963962379MaRDI QIDQ1658482FDOQ1658482

Authors: Claudio Agostinelli, Isabella Locatelli, Alfio Marazzi, Victor J. Yohai 

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Abstract: The generalized log-gamma (GLG) model is a very flexible family of distributions to analyze datasets in many different areas of science and technology. In this paper, we propose estimators which are simultaneously highly robust and highly efficient for the parameters of a GLG distribution in the presence of censoring. We also introduced estimators with the same properties for accelerated failure time models with censored observations and error distribution belonging to the GLG family. We prove that the proposed estimators are asymptotically fully efficient and examine the maximum mean square error using Monte Carlo simulations. The simulations confirm that the proposed estimators are highly robust and highly efficient for finite sample size. Finally, we illustrate the good behavior of the proposed estimators with two real datasets.

Full work available at URL: https://arxiv.org/abs/1512.01473

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zbMATH Keywords

censored data\(\tau\) estimatorsquantile distance estimatestruncated maximum likelihood estimatorsweighted likelihood estimators

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cited In (7)

• Generalized log-gamma additive partial linear models with P-spline smoothing
• Method of trimmed moments for robust fitting of parametric failure time models
• Robust Wald-type tests under random censoring
• The power of monitoring: how to make the most of a contaminated multivariate sample
• Covariance matrices of S robust regression estimators
• 2nd special issue on robust analysis of complex data
• Robust estimators for one-shot device testing data under gamma lifetime model with an application to a tumor toxicological data

Uses Software

• R
• robustloggamma
• RobustAFT

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