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Asymptotic distribution of the nonparametric distribution estimator based on a martingale approach in doubly censored data

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  • Tomoyuki Sugimoto

Abstract

For analysis of time-to-event data with incomplete information beyond right-censoring, many generalizations of the inference of the distribution and regression model have been proposed. However, the development of martingale approaches in this area has not progressed greatly, while for right-censored data such an approach has spread widely to study the asymptotic properties of estimators and to derive regression diagnosis methods. In this paper, focusing on doubly censored data, we discuss a martingale approach for inference of the nonparametric maximum likelihood estimator (NPMLE). We formulate a martingale structure of the NPMLE using a score function of the semiparametric profile likelihood. Finally, an expression of the asymptotic distribution of the NPMLE is derived more conveniently without depending on an infinite matrix expression as in previous research. A further useful point is that a variance-covariance formula of the NPMLE computable in a larger sample is obtained as an empirical version of the limit form presented here. Copyright The Institute of Statistical Mathematics, Tokyo 2013

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  • Tomoyuki Sugimoto, 2013. "Asymptotic distribution of the nonparametric distribution estimator based on a martingale approach in doubly censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 65(5), pages 859-888, October.
    • Handle: RePEc:spr:aistmt:v:65:y:2013:i:5:p:859-888
    DOI: 10.1007/s10463-012-0395-4
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    References listed on IDEAS

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    1. Jong S. Kim, 2003. "Maximum likelihood estimation for the proportional hazards model with partly interval‐censored data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 489-502, May.
    2. Tomoyuki Sugimoto, 2011. "Erratum to: A Wald-type variance estimation for the nonparametric distribution estimators for doubly censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 671-674, August.
    3. T. Cai, 2004. "Semiparametric regression analysis for doubly censored data," Biometrika, Biometrika Trust, vol. 91(2), pages 277-290, June.
    4. Tomoyuki Sugimoto, 2011. "A Wald-type variance estimation for the nonparametric distribution estimators for doubly censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(4), pages 645-670, August.
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