Single index regression models in the presence of censoring depending on the covariates

Details Single index regression models in the presence of censoring depending on the covariates Single index regression models in the presence of censoring depending on the covariates

2011-11-27

arxiv.org/abs/1111.6232v1

Mathematics

Statistics Theory

Scientific paper

Consider a random vector $(X',Y)'$, where $X$ is $d$-dimensional and $Y$ is one-dimensional. We assume that $Y$ is subject to random right censoring. The aim of this paper is twofold. First we propose a new estimator of the joint distribution of $(X',Y)'$. This estimator overcomes the common curse-of-dimensionality problem, by using a new dimension reduction technique. Second we assume that the relation between $X$ and $Y$ is given by a single index model, and propose a new estimator of the parameters in this model. The asymptotic properties of all proposed estimators are obtained.

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