Trimmed and winsorized semiparametric estimator for left-truncated and right-censored regression models

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• 作者：Myoung-jae Lee ; Maria Karlsson
• 关键词：Left truncation ; Right censoring ; LTRC ; Semiparametrics ; Trimmed mean ; Winsorized mean
• 刊名：Metrika
• 出版年：2015
• 出版时间：May 2015
• 年：2015
• 卷：78
• 期：4
• 页码：485-495
• 全文大小：236 KB
• 参考文献：1. Gross, ST, Lai, TL (1996) Nonparametric estimation and regression analysis with left-truncated and right-censored data. J Am Stat Assoc 91: pp. 1166-1180 CrossRef
  2. Karlsson, M (2006) Estimators of regression parameters for truncated and censored data. Metrika 63: pp. 329-341 CrossRef
  3. Karlsson, M, Laitila, T (2008) A semiparametric regression estimator under left truncation and right censoring. Stat Probab Lett 78: pp. 2567-2571 CrossRef
  4. Lai, T, Ying, Z (1991) Rank regression methods for left-truncated and right-censored data. Ann Stat 19: pp. 531-556 CrossRef
  5. Lai, TL, Ying, Z (1994) A missing information principle and M-estimators in regression analysis with censored and truncated data. Ann Stat 22: pp. 1222-1255 CrossRef
  6. Lee, MJ (1992) Winsorized mean estimator for censored regression. Econ Theory 8: pp. 368-382 CrossRef
  7. Lee, MJ (1993) Quadratic mode regression. J Econ 57: pp. 1-19 CrossRef
  8. Newey, WK (2001) Conditional moment restrictions in censored and truncated regression models. Econ Theory 17: pp. 863-888 CrossRef
  9. Newey, WK, Powell, JL (1990) Efficient estimation of linear and type I censored regression models under conditional quantile restrictions. Econ Theory 6: pp. 295-317 CrossRef
  10. Powell, J (1984) Least absolute deviations estimation for the censored regression model. J Econ 25: pp. 303-325 CrossRef
  11. Shen, P (2009) A class of rank-based test for left-truncated and right-censored data. Ann Inst Stat Math 61: pp. 461-476 CrossRef
  12. Shen, P (2012) Median regression model with left truncated and right censored data. J Stat Plan Inference 142: pp. 1757-1766 CrossRef
  13. Vaart, AW (1998) Asymptotic statistics. Cambridge University Press, Cambridge
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Statistics
  Statistics
  Statistics for Business, Economics, Mathematical Finance and Insurance
  Probability Theory and Stochastic Processes
  Economic Theory
  
• 出版者：Physica Verlag, An Imprint of Springer-Verlag GmbH
• ISSN：1435-926X

文摘

For a linear regression model subject to left-truncation and right-censoring where the truncation and censoring points are known constants (or always observed if random), Karlsson and Laitila (Stat Probab Lett 78:2567-571, 2008) proposed a semiparametric estimator which deals with left-truncation by trimming and right-censoring by ‘winsorizing- The estimator was motivated by a zero moment condition where a transformed error term appears with trimmed and winsorized tails. This paper takes the semiparametric estimator further by deriving the asymptotic distribution that was not shown in Karlsson and Laitila (Stat Probab Lett 78:2567-571, 2008) and discusses its implementation aspects in practice, albeit brief.