Empirical Cummulative Density Function from a Univariate Censored Sample

Plamen Markov

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arXiv · 1108.2838

Empirical Cummulative Density Function from a Univariate Censored Sample

Plamen Markov

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Abstract

Let F be an unknown univariate distribution function to be estimated from a sample containing censored observations and tau be in dom(F). The author has derived a novel nonparametric estimator F_hat for F without making any assumptions regarding the nature of the censoring mechanism or the distribution function F. The distribution of F_hat(tau) can be easily and accurately estimated even for small sample sizes. The estimator F_hat has significantly outperformed the Kaplan Meier estimator in a simulation study with an exponential and a lognormal distribution functions F and a censoring mechanism defined by i.i.d. uniform random observation points.

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Plamen Markov. 2011-08-14. Empirical Cummulative Density Function from a Univariate Censored Sample. https://arxiv.org/abs/1108.2838

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