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Non‐parametric Quantile Regression with Censored Data

Author

Listed:
  • ALI GANNOUN
  • JÉRÔME SARACCO
  • AO YUAN
  • GEORGE E. BONNEY

Abstract

. Censored regression models have received a great deal of attention in both the theoretical and applied statistics literature. Here, we consider a model in which the response variable is censored but not the covariates. We propose a new estimator of the conditional quantiles based on the local linear method, and give an algorithm for its numerical implementation. We study its asymptotic properties and evaluate its performance on simulated data sets.

Suggested Citation

  • Ali Gannoun & Jérôme Saracco & Ao Yuan & George E. Bonney, 2005. "Non‐parametric Quantile Regression with Censored Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 527-550, December.
    • Handle: RePEc:bla:scjsta:v:32:y:2005:i:4:p:527-550
    DOI: 10.1111/j.1467-9469.2005.00456.x
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    Cited by:

    1. Shim, Jooyong & Hwang, Changha, 2009. "Support vector censored quantile regression under random censoring," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 912-919, February.
    2. Xie, Shangyu & Wan, Alan T.K. & Zhou, Yong, 2015. "Quantile regression methods with varying-coefficient models for censored data," Computational Statistics & Data Analysis, Elsevier, vol. 88(C), pages 154-172.
    3. de Uña Álvarez, Jacobo & Roca Pardiñas, Javier, 2009. "Additive models in censored regression," Computational Statistics & Data Analysis, Elsevier, vol. 53(9), pages 3490-3501, July.
    4. Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2016. "Tree-based censored regression with applications in insurance," Post-Print hal-01141228, HAL.
    5. Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2016. "Tree-based censored regression with applications in insurance," Post-Print hal-01364437, HAL.
    6. Mohamed Chaouch & Salah Khardani, 2015. "Randomly censored quantile regression estimation using functional stationary ergodic data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(1), pages 65-87, March.
    7. Olivier Lopez & Xavier Milhaud & Pierre-Emmanuel Thérond, 2015. "Tree-based censored regression with applications to insurance," Working Papers hal-01141228, HAL.

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