Adaptive estimation of the hazard rate with multiplicative censoring

Abstract : We propose an adaptive estimation procedure of the hazard rate of a random variable X in the multiplicative censoring model, Y = XU , with U ∼ U([0, 1]) independent of X. The variable X is not directly observed: an estimator is built from a sample {Y1, ..., Yn} of copies of Y. It is obtained by minimisation of a contrast function over a class of general nested function spaces which can be generated e.g. by splines functions. The dimension of the space is selected by a penalised contrast criterion. The final estimator is proved to achieve the best bias-variance compromise and to reach the same convergence rate as the oracle estimator under conditions on the maximal dimension. The good behavior of the resulting estimator is illustrated over a simulation study.
Type de document :
Pré-publication, Document de travail
MAP5 2016-24. 2016
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Contributeur : Gaëlle Chagny <>
Soumis le : vendredi 9 septembre 2016 - 10:52:15
Dernière modification le : mardi 5 juin 2018 - 10:14:09
Document(s) archivé(s) le : samedi 10 décembre 2016 - 12:33:37


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  • HAL Id : hal-01362694, version 1


G Chagny, Fabienne Comte, A. Roche. Adaptive estimation of the hazard rate with multiplicative censoring. MAP5 2016-24. 2016. 〈hal-01362694〉



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