Asymptotic properties of conditional quantile estimator for censored dependent observations |
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Authors: | Han-Ying Liang Jacobo de Uña-Álvarez |
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Institution: | 1.Department of Mathematics,Tongji University,Shanghai,People’s Republic of China;2.Department of Statistics and Operations Research, Facultad de Ciencias Económicas y Empresariales,Universidad de Vigo,Vigo,Spain |
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Abstract: | In this paper, we establish strong uniform convergence and asymptotic normality of the conditional quantile estimator for the censorship model when the data exhibit some kind of dependence. It is assumed that the observations form a stationary α-mixing sequence. The strong uniform convergence in iid framework has recently been discussed by Ould-Saïd (Stat Probab Lett 76:579–586, 2006). As a by-product, we also obtain a uniform weak convergence rate for the product-limit estimator of the lifetime and censoring distributions under dependence, which is interesting independently. |
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