Nonparametric M-estimation for right censored regression model with stationary ergodic data

DOI10.1016/J.STAMET.2016.10.002zbMATH Open1487.62031arXiv1605.00015OpenAlexW2963044609MaRDI QIDQ670191FDOQ670191

Elias Ould Saïd, Mohamed Chaouch, N. Laïb

Publication date: 18 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Abstract: The present paper deals with a nonparametric M-estimation for right censored regression model with stationary ergodic data. Defined as an implicit function, a kernel type estimator of a family of robust regression is considered when the covariate take its values in R^d (d >= 1) and the data are sampled from stationary ergodic process. The strong consistency (with rate) and the asymptotic distribution of the estimator are established under mild assumptions. Moreover, a usable confidence interval is provided which does not depend on any unknown quantity. Our results hold without any mixing condition and do not require the existence of marginal densities. A comparison study based on simulated data is also provided.

Full work available at URL: https://arxiv.org/abs/1605.00015

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zbMATH Keywords

asymptotic normalitystrong consistencysynthetic datacensored dataconfidence intervalrobust estimationKaplan-Meier estimatorergodic data

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Estimation in survival analysis and censored data (62N02) Asymptotic distribution theory in statistics (62E20)

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Cited In (9)

• On the local linear modelization of the conditional density for functional and ergodic data
• LOCAL LINEAR MODELLING OF THE CONDITIONAL DISTRIBUTION FUNCTION FOR FUNCTIONAL ERGODIC DATA
• Nonparametric regression models for right-censored data using Bernstein polynomials
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• Strong convergence of the functional nonparametric relative error regression estimator under right censoring
• Uniform convergence of nonparametric regressions in competing risk models with right censoring
• Asymptotic properties of the conditional hazard function estimate by the local linear method for functional ergodic data
• Uniform limit theorems for a class of conditional \(Z\)-estimators when covariates are functions
• Consistency results of the M-regression function estimator for stationary continuous-time and ergodic data

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