Smooth estimation of a monotone hazard and a monotone density under random censoring

Journal article (2016)

Authors

H.P. Lopuhaä Statistics -

E. Musta Statistics -

Research Group

Statistics () (TU Delft)

Asymptotics Smoothing Isotonic estimation Grenander estimator hazard rate Right censoring

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Published Date

20-10-2016

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Statistics

Abstract

We consider kernel smoothed Grenander-type estimators for a monotone hazard rate and a monotone density in the presence of randomly right censored data. We show that they converge at rate n2/5 and that the limit distribution at a fixed point is Gaussian with explicitly given mean and variance. It is well known that standard kernel smoothing leads to inconsistency problems at the boundary points. It turns out that, also by using a boundary correction, we can only establish uniform consistency on intervals that stay away from the end point of the support (although we can go arbitrarily close to the right boundary).