Penalized spline estimation in varying coefficient models with censored data
We consider P-spline smoothing in a varying coefficient regression model when the response is subject to random right censoring. We introduce two data transformation approaches to construct a synthetic response vector that is used in a penalized least squares optimization problem. We prove the consi...
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| Published in: | Test (Madrid, Spain) Vol. 27; no. 4; pp. 871 - 895 |
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| Main Authors: | , , |
| Format: | Journal Article |
| Language: | English |
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Berlin/Heidelberg
Springer Berlin Heidelberg
01.12.2018
Springer Nature B.V |
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| ISSN: | 1133-0686, 1863-8260 |
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| Abstract | We consider P-spline smoothing in a varying coefficient regression model when the response is subject to random right censoring. We introduce two data transformation approaches to construct a synthetic response vector that is used in a penalized least squares optimization problem. We prove the consistency and asymptotic normality of the P-spline estimators for a diverging number of knots and show by simulation studies and real data examples that the combination of a data transformation for censored observations with P-spline smoothing leads to good estimators of the varying coefficient functions. |
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| AbstractList | We consider P-spline smoothing in a varying coefficient regression model when the response is subject to random right censoring. We introduce two data transformation approaches to construct a synthetic response vector that is used in a penalized least squares optimization problem. We prove the consistency and asymptotic normality of the P-spline estimators for a diverging number of knots and show by simulation studies and real data examples that the combination of a data transformation for censored observations with P-spline smoothing leads to good estimators of the varying coefficient functions. |
| Author | Hendrickx, K. Janssen, P. Verhasselt, A. |
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| CitedBy_id | crossref_primary_10_1007_s00180_023_01372_2 crossref_primary_10_1007_s11222_022_10178_z crossref_primary_10_1088_1742_6596_1988_1_012094 |
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| DOI | 10.1007/s11749-017-0574-y |
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| Keywords | P-splines 62G08 62N01 Censoring 62N02 62G20 Regularization Nonparametric statistics Varying coefficient model |
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| SubjectTerms | Censored data (mathematics) Coefficients Computer simulation Data smoothing Economic models Economics Estimators Finance Insurance Knots Management Mathematics and Statistics Nonparametric statistics Normality Original Paper Regression analysis Regression models Statistical Theory and Methods Statistics Statistics for Business Transformations |
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| Title | Penalized spline estimation in varying coefficient models with censored data |
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