Conditional density estimation in a censored single-index regression model

Olivier Bouaziz (1) , Olivier Lopez (1)

1 LSTA - Laboratoire de Statistique Théorique et Appliquée

Under a single-index regression assumption, we introduce a new semiparametric procedure to estimate a conditional density of a censored response. The regression model can be seen as a generalization of Cox regression model and also as a profitable tool to perform dimension reduction under censoring. This technique extends the results of Delecroix et al. (2003). We derive consistency and asymptotic normality of our estimator of the index parameter by proving its asymptotic equivalence with the (uncomputable) maximum likelihood estimator, using martingales results for counting processes and arguments of empirical processes theory. Furthermore, we provide a new adaptive procedure which allows us both to chose the smoothing parameter involved in our approach and to circumvent the weak performances of Kaplan-Meier estimator (1958) in the right-tail of the distribution. Through a simulation study, we study the behavior of our estimator for small samples.

Mots clés: asymptotic normality; empirical processes; censoring; martingales for counting processes; pseudo-maximum likelihood; single-index model

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Olivier Bouaziz, Olivier Lopez. Conditional density estimation in a censored single-index regression model. 2009. ⟨hal-00305495v2⟩