-deficiency of the Kaplan-Meier estimator
Mohamed Lemdani and
Elias Ould-Saïd
Statistics & Probability Letters, 2003, vol. 63, issue 2, 145-155
Abstract:
Let X1,...,Xn,... be a sequence of independent and identically distributed random variables with distribution function F subject to random right censoring. Considering the classical Kaplan-Meier estimator and a smoothed kernel-type estimate , we prove that and (mean integrated absolute error) tend to the same constant as n goes to infinity. However, we establish that the smoothed estimator has a performance better than (for some bandwidths) what relative -deficiency is of interest. The optimal choice of the bandwidth hn, with respect to MIAE sense, is also obtained.
Keywords: Kaplan-Meier; estimator; Strong; representation; Smooth; kernel-type; estimate; -deficiency; Optimal; bandwidth (search for similar items in EconPapers)
Date: 2003
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