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Efficient estimation in the bivariate censoring model and repairing NPMLE. (English) Zbl 0859.62033
Summary: The NPMLE in the bivariate censoring model is not consistent for continuous data. The problem is caused by the singly censored observations. We prove that if we observe the censoring times or if the censoring times are discrete, then a NPMLE based on a slightly reduced data set, in particular, if we interval censor the single censored observations, is asymptotically efficient for this reduced data and moreover if we let the width of the interval converge to zero slowly enough, then the NPMLE is also asymptotically efficient for the original data.
We are able to determine a lower bound for the rate at which the bandwidth should converge to zero. Simulation results show that the estimator for small bandwidths has a very good performance. The efficiency proof uses a general identity which holds for NPMLE of a linear parameter in convex models. If we neither observe the censoring times nor the censoring times are discrete, then we conjecture that our estimator based on simulated censoring times is also asymptotically efficient.

62G05 Nonparametric estimation
62G07 Density estimation
62G20 Asymptotic properties of nonparametric inference
62F12 Asymptotic properties of parametric estimators
Full Text: DOI
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