Adaptive Robust Regression for Censored Data

Kim, Chul-Ki

Journal of Korean Society for Quality Management > Volume 27(2); 1999 > Article

Journal of Korean Society for Quality Management 1999;27(2): 112-.

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Adaptive Robust Regression for Censored Data

Chul-Ki Kim

Dept. of Statistics, Ewha Womans University

ABSTRACT

In a robust regression model, it is typically assumed that the errors are normally distributed. However, what if the error distribution is deviated from the normality and the response variables are not completely observable due to censoring? For complete data, Kim and Lai(1998) suggested a new adaptive M-estimator with an asymptotically efficient score function. The adaptive M-estimator is based on using B-splines to estimate the score function and simple cross validation to determine the knots of the B-splines, which are a modified version of Kun( 1992). We herein extend this method to right-censored data and study how well the adaptive M-estimator performs for various error distributions and censoring rates. Some impressive simulation results are shown.

Key Words: Adaptive M-estimator;Asymptotically efficient score function;Right-censored data;