Estimating a distribution function for censored time series data

JOURNAL OF MULTIVARIATE ANALYSIS

卷:78

Article

Cai, ZW

关键词: alpha-mixing;    censored data;    consistency;    Kaplan-Meier estimator;    time series analysis;    variance estimator;    weak convergence;   

DOI  :  10.1006/jmva.2000.1953

来源: Elsevier

【 摘 要 】

Consider a long term study, where a series of dependent and possibly censored failure times is observed. Suppose that the failure times have a common marginal distribution function, but they exhibit a mode of time series structure such as alpha -mixing. The inference on the marginal distribution function is of interest to us. The main results of this article show that, under some regularity conditions, the Kaplan-Meier estimator enjoys uniform consistency with rates, and a stochastic process generated by the Kaplan-Meier estimator converges weakly to a certain Gaussian process with a specified covariance structure. Finally, an estimator of the limiting variance of the Kaplan-Meier estimator is proposed and its consistency is established. (C) 2001 Academic Press.

【 授权许可】

Free