Asymptotic properties of conditional quantile estimator for censored dependent observations

作者：Liang Han Ying^*; de Una Alvarez Jacobo

来源：Annals of the Institute of Statistical Mathematics, 2011, 63(2): 267-289.

DOI：10.1007/s10463-009-0230-8

• Strong uniform convergence
• Asymptotic normality
• Censored data
• alpha-mixing sequence
• Conditional quantile estimator

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 alpha-mixing sequence. The strong uniform convergence in iid framework has recently been discussed by Ould-Sa < d (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.

• 出版日期2011-4
• 单位同济大学