The maximum likelihood estimator under the exponential distribution with right-censored linear regression data

Qiqing Yu

Statistics & Probability Letters, 2020, vol. 165, issue C

Abstract: The maximum likelihood estimator (MLE) under the parametric set-up with the right-censored (RC) data rarely has a closed form solution. The exponential distribution is an exception. Moreover, the parametric MLE’s with RC regression data are currently computed by iterative algorithms. We show that the MLE of the exponential distribution under the linear regression model with RC data has a closed form solution and prove its consistency. We also propose a diagnostic plot method and a test of H0: Y=βX+W and X⊥W, where W∼Exp(θ), and apply them to a cancer data set.

Keywords: Linear regression model; Right-censored data; Parametric MLE; Exponential distribution; Consistency (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108846

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