Nonparametric estimation of a distribution function from doubly truncated data under dependence
02:00pm to 04:00pm
Sala Nova - ICBAS (edifício antigo)
The NPMLE of a distribution function from doubly truncated data was introduced
in the seminal paper of Efron and Petrosian Efron and Petrosian (1999). The consistency of
the Efron-Petrosian estimator depends however on the assumption of independent truncation.
We introduce and 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. The asymptotic properties of the proposed estimator will be explored. Several applications to medical data are included for illustration purposes.
Keywords. Copula function; Dependent truncation; Double truncation
References: Efron, B. and V. Petrosian (1999): Nonparametric methods for doubly truncated data, Journal of the American Statistical Association, 94, 824 - 834.
Carla Moreira, ISPUP