Minimum Hellinger Distance Estimation of Parameter in the Random Censorship Model

Yang, Song

Ann. Statist., Tome 19 (1991) no. 1, p. 579-602 / Harvested from Project Euclid

Résumé

This paper discusses the minimum Hellinger distance estimation (MHDE) of the parameter that gives the "best fit" of a parametric family to a density when the data are randomly censored. In studying the MHDE, the tail behavior of the product-limit (P-L) process is investigated, and the weak convergence of the process on the real line is established. An upper bound on the mean square increment of the normalized P-L process is also obtained. With these results, the asymptotic behavior of the MHDE is established and it is shown that, when the parametric model is correct, the MHD estimators are asymptotically efficient among the class of regular estimators. This estimation procedure is also minimax robust in small Hellinger neighborhoods of the given parametric family. The work extends the results of Beran for the complete i.i.d. data case to the censored data case. Some of the proofs employ the martingale techniques by Gill.

Détail

Publié le : 1991-06-14
Classification:  Product-limit estimator,  censored data,  martingale,  stochastic integral,  weak convergence,  minimum Hellinger distance estimate,  asymptotically efficient estimate,  robust statistics,  minimax robust,  62F35,  62E20,  60F05,  62P10