CLT for integrated square error of density estimators with censoring indicators missing at random

Zou, Yuye; Liang, Han-Ying

Abstract:

A popular stochastic measure of the distance between the density of the lifetimes and its estimator is the integrated square error (ISE) and Hellinger distance (HD). In this paper, we focus on the right-censored model when the censoring indicators are missing at random. Based on two density estimators defined by Wang et al.(J Multivar Anal 100:835–850, 2009), and another new kernel estimator of the density, we established the asymptotic normality of the ISE and HD for the proposed estimators. In addition, the uniformly strongly consistency of the new kernel estimator of the density is discussed. Also, a simulation study is conducted to compare finite-sample performance of the proposed estimators. © 2019, Springer-Verlag GmbH Germany, part of Springer Nature.

Year:

2019

Type of Publication:

Article

Keywords:

Asymptotic normality; Hellinger distance; Integrated square error; Missing at random; Strong consistency

Journal:

Statistical Papers

Volume:

In press

Note:

Q2 45/123 h-index 1.345 (JCR2018)

DOI:

10.1007/s00362-018-01065-9