Nonparametric M-estimation for right censored regression model with stationary ergodic data
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Nonparametric \(M\)-estimation for right censored regression model with stationary ergodic data
Nonparametric \(M\)-estimation for right censored regression model with stationary ergodic data
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.
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Cited in
(12)- On the local linear modelization of the conditional density for functional and ergodic data
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- Strong convergence of the functional nonparametric relative error regression estimator under right censoring
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