Nonparametric Estimation of a distribution function from doubly truncated data under dependence release_upy5hiejcrdfzdsdaujss6bo4u

by Carla Moreira, Jacobo de Uña-Álvarez, Roel Braekers

Released as a article .

2021  

Abstract

The NPMLE of a distribution function from doubly truncated data was introduced in the seminal paper of Efron and Petrosian. The consistency of the Efron-Petrosian estimator depends however on the assumption of independent truncation. In this work we introduce an extension of the Efron-Petrosian NPMLE when the lifetime and the truncation times may be dependent. The proposed estimator is constructed on the basis of a copula function which represents the dependence structure between the lifetime and the truncation times. Two different iterative algorithms to compute the estimator in practice are introduced, and their performance is explored through an intensive Monte Carlo simulation study. We illustrate the use of the estimators on a real data example.
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Date   2021-01-12
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arXiv  1802.08579v2
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