Simulations on the Theil-Sen regression estimator with right-censored data

Rand R. Wilcox

Statistics & Probability Letters, 1998, vol. 39, issue 1, 43-47

Abstract: This note compares the small-sample efficiency of the extended Theil-Sen estimator to the modified Buckley-James estimator when the predictor is random. Included are situations where the error term is heteroscedastic. In terms of their standard errors, the extended Theil-Sen estimator is found to offer a substantial advantage in various situations, while the modified Buckley-James estimator never offers an advantage when there is 20% or 50% censoring.

Keywords: Buckley-James; estimator; Bootstrap (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (3)

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