NONPARAMETRIC ESTIMATION OF THE INTENSITY FUNCTION OF A RECURRENT EVENT PROCESS

作者：Bouaziz Olivier^*; Comte Fabienne; Guilloux Agathe

来源：Statistica Sinica, 2013, 23(2): 635-665.

DOI：10.5705/ss.2011.137

• Adaptive estimation
• censoring
• intensity
• kernel estimator
• nonparametric estimation
• recurrent event process

In this paper, we consider estimating the intensity of a recurrent event process observed under a standard censoring scheme. We first propose a collection of kernel estimators for which we provide MSE and MISE bounds. We then describe and study an adaptive procedure of bandwidth selection, in the spirit of Goldenshluger and Lepski (2011), and prove an oracle type bound for both the MSE and the MISE of the final estimator. The method is illustrated by simulation experiments.

• 出版日期2013-4