A Note on the Uniform Consistency of the Kaplan-Meier Estimator
Wang, Jia-Gang
Ann. Statist., Tome 15 (1987) no. 1, p. 1313-1316 / Harvested from Project Euclid
Let $\{X_n, n \geq 1\}$ be i.i.d with $P(X_i \leq u) = F(u)$ and $\{U_n, n \geq 1\}$ be i.i.d. with $P(U_i \leq u) = G(u). \hat{F}_n(t)$ is the Kaplan-Meier estimator based on the censored data $(\tilde{X}_i = X_i \wedge U_i, \delta_i = 1_{(X_i \leq U_i)}, 1 \leq i \leq n)$. In this note, it is shown that for $T_n = \max_{1 \leq i \leq n} \tilde{X}_i$, $\mathrm{pr}-\lim_{n \rightarrow \infty} \sup_{t \leq T_n} |\hat{F}_n(t) - F(t)| = 0.$ Hence, the largest interval on which the Kaplan-Meier estimator is uniformly consistent is found.
Publié le : 1987-09-14
Classification:  Product-limit estimator,  Kaplan-Meier estimator,  random censoring,  uniform consistency,  martingales,  stochastic integrals,  62G05,  62N05,  62P10
@article{1176350507,
     author = {Wang, Jia-Gang},
     title = {A Note on the Uniform Consistency of the Kaplan-Meier Estimator},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 1313-1316},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350507}
}
Wang, Jia-Gang. A Note on the Uniform Consistency of the Kaplan-Meier Estimator. Ann. Statist., Tome 15 (1987) no. 1, pp.  1313-1316. http://gdmltest.u-ga.fr/item/1176350507/