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Median regression from twice censored data. (English) Zbl 1456.62077
Summary: An adjusted least absolute deviation estimating function, founded on the inverse (probability of) censoring weighted approach, is proposed. Covariate-free left and right censoring is assumed. When left censoring is absent, the proposed estimating function reduces to its right-censored counterpart. Consistency and asymptotic normality of the estimator of the regression parameter are derived. Finite sample performance is investigated via simulations. Application of the proposed method is illustrated using some synthetic data sets.
MSC:
62G08 Nonparametric regression and quantile regression
62N01 Censored data models
Software:
SPLIDA
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