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

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
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Full Text: Euclid