Model Averaging for Accelerated Failure Time Models with Missing Censoring Indicators

Longbiao Liao and Jinghao Liu ()
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Longbiao Liao: Department of Statistics and Data Science, School of Economics, Jinan University, Guangzhou 510632, China
Jinghao Liu: Department of Statistics and Data Science, School of Economics, Jinan University, Guangzhou 510632, China

Mathematics, 2024, vol. 12, issue 5, 1-16

Abstract: Model averaging has become a crucial statistical methodology, especially in situations where numerous models vie to elucidate a phenomenon. Over the past two decades, there has been substantial advancement in the theory of model averaging. However, a gap remains in the field regarding model averaging in the presence of missing censoring indicators. Therefore, in this paper, we present a new model-averaging method for accelerated failure time models with right censored data when censoring indicators are missing. The model-averaging weights are determined by minimizing the Mallows criterion. Under mild conditions, the calculated weights exhibit asymptotic optimality, leading to the model-averaging estimator achieving the lowest squared error asymptotically. Monte Carlo simulations demonstrate that the method proposed in this paper has lower mean squared errors compared to other model-selection and model-averaging methods. Finally, we conducted an empirical analysis using the real-world Acute Myeloid Leukemia (AML) dataset. The results of the empirical analysis demonstrate that the method proposed in this paper outperforms existing approaches in terms of predictive performance.

Keywords: model averaging; accelerated failure time model; censoring indicator (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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