Nonlinear wavelet regression function estimator for censored dependent data. (English) Zbl 1258.62046

Benatia, Fateh; Yahia, Djabrane

Afr. Stat. 7, No. 1, 391-411 (2012).

Summary: Let \((Y,C,X)\) be a vector of random variables where \(Y\), \(C\) and \(X\) are, respectively, the interest variable, a right censoring and a covariable (predictor). We introduce a new nonlinear wavelet-based estimator of the regression function in the right censorship model. An asymptotic expression for the mean integrated squared error of the estimator is obtained for both continuous and discontinuous curves. It is assumed that the life time observations form a stationary \(\alpha\)-mixing sequence.

MSC:

62G08	Nonparametric regression and quantile regression
42C40	Nontrigonometric harmonic analysis involving wavelets and other special systems
62N01	Censored data models
62G20	Asymptotic properties of nonparametric inference
62N02	Estimation in survival analysis and censored data

Keywords:

censored data; mean integrated squared error; nonlinear wavelet-based estimator; nonparametric regression; strong mixing