Random clouds and an application to censoring in survival analysis

B.G.B. Gail Ivanoff and Ely Merzbach

Stochastic Processes and their Applications, 2004, vol. 111, issue 2, 259-279

Abstract: The theory of optional stopping is extended from stopping sets to general adapted random sets called 'clouds' and 'anti-clouds', and a stopping theorem is proven for set-indexed martingales. An application to set-indexed survival analysis is given when the data points are indexed by sets and censored very generally by clouds. This type of censoring corresponds to filtering of survival data on R+. A Nelson-Aalen estimator is defined, and shown to be consistent and asymptotically unbiased.

Keywords: Censoring; Adapted; random; set; Cloud; Set-indexed; martingale; Hazard; function; Survival; analysis; Estimator (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)

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