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Parametric conditional variance estimation in location-scale models with censored data
Heuchenne, Cédric; Laurent, Géraldine
2014
 

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Keywords :
Bandwidth; Bootstrap; Kernel method; Least squares estimation; Nonparametric regression; Right censoring; Survival analysis
Abstract :
[en] Suppose the random vector (X,Y) satisfies the regression model Y=m(X)+sigma(X)*varepsilon, where m(.)=E(Y|.), sigma²(.)=Var(Y|.) belongs to some parametric class {sigma _theta(.): theta in Theta} and varepsilon is independent of X. The response Y is subject to random right censoring and the covariate X is completely observed. A new estimation procedure is proposed for sigma_theta(.) when m(.) is unknown. It is based on nonlinear least squares estimation extended to conditional variance in the censored case. The consistency and asymptotic normality of the proposed estimator are established. The estimator is studied via simulations and an important application is devoted to fatigue life data analysis.
Research center :
Centre for Quantitative Methods and Operations Management (QuantOM)
Disciplines :
Mathematics
Author, co-author :
Heuchenne, Cédric ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie
Laurent, Géraldine ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Opérations
Language :
English
Title :
Parametric conditional variance estimation in location-scale models with censored data
Publication date :
2014
Funders :
This research was supported by IAP research network grant nr. P7/06 of the Belgian government (Belgian Science Policy).
Available on ORBi :
since 06 June 2014

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