
Adaptive estimation of the hazard rate with multiplicative censoring
Chagny, Gaëlle; Comte, Fabienne; Roche, Angelina (2017), Adaptive estimation of the hazard rate with multiplicative censoring, Journal of Statistical Planning and Inference, 184, p. 25-47. 10.1016/j.jspi.2016.11.002
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Article accepté pour publication ou publiéDate
2017Journal name
Journal of Statistical Planning and InferenceVolume
184Publisher
Elsevier
Pages
25-47
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Show full item recordAuthor(s)
Chagny, GaëlleLaboratoire de Mathématiques Raphaël Salem [LMRS]
Comte, Fabienne
Mathématiques Appliquées Paris 5 [MAP5 - UMR 8145]
Roche, Angelina
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
We propose an adaptive estimation procedure of the hazard rate of a random variable X in the multiplicative censoring model, Y = XU , with U ∼ U([0, 1]) independent of X. The variable X is not directly observed: an estimator is built from a sample {Y1, ..., Yn} of copies of Y. It is obtained by minimisation of a contrast function over a class of general nested function spaces which can be generated e.g. by splines functions. The dimension of the space is selected by a penalised contrast criterion. The final estimator is proved to achieve the best bias-variance compromise and to reach the same convergence rate as the oracle estimator under conditions on the maximal dimension. The good behavior of the resulting estimator is illustrated over a simulation study.Subjects / Keywords
Adaptive procedure; Model selection; Hazard rate estimation; Multiplicative censoring modelRelated items
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