Reference : Error distribution estimation in nonparametric regression with right censored selecti...
Scientific congresses and symposiums : Unpublished conference/Abstract
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/146040
Error distribution estimation in nonparametric regression with right censored selection biased data
English
Laurent, Géraldine mailto [Université de Liège - ULiège > HEC-Ecole de gestion : UER > UER Opérations >]
Heuchenne, Cédric mailto [Université de Liège - ULiège > HEC-Ecole de gestion : UER > Statistique appliquée à la gestion et à l'économie >]
25-Oct-2012
No
No
National
20th annual meeting of the Belgian Statistical Society
October 24-26
Université de Liège
Liège
Belgium
[en] Nonparametric regression ; Selection bias ; Right censoring ; Bootstrap ; Bandwidth selection
[en] In this presentation, we study the nonparametric regression model Y = m(X) +sigma(X) * epsilon where the error epsilon, with unknown distribution, is independent of the covariate X, and m(X) = E[Y|X] and sigma²(X) =Var[Y|X] are unknown smooth functions. The problem is to estimate the cumulative distribution function of the error in a nonparametric way when the
couple (X;Y) is subject to generalized bias selection while the positive response Y can be
right-censored. We propose a new estimator for the error distribution function. Asymptotic
properties of the proposed estimator are established, namely the rate of convergence and the
limiting distribution. A bootstrap procedure is developed to solve the critical problem of
the smoothing parameter choice. The performance of the proposed estimator is investigated
through simulations. Finally, a data set based on the mortality of diabetics is analyzed.
http://hdl.handle.net/2268/146040

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