In this paper we investigate the estimation of the unknown parameters of a competing risk model based on a Weibull distributed decreasing failure rate and an exponentially distributed constant failure rate, under right censored data.likelihood estimators.
We propose a censored quantile regression estimator motivated by unbiased estimating equations. Under the usual conditional independence assumption of the survival time and the censoring time given the covariates, we show that the proposed estimator
is consistent and asymptotically normal. We develop an efficient computational algorithm which uses existing quantile regression code. As a result, bootstrap-type inference can be efficiently implemented. We illustrate the finite-sample performance of the proposed method by simulation studies and analysis of a survival data set.
This paper considers Bayesian multiple testing under sparsity for polynomial-tailed distributions satisfying a monotone likelihood ratio property. Included in this class of distributions are the Students t, the Pareto, and many other distributions. W
e prove some general asymptotic optimality results under fixed and random thresholding. As examples of these general results, we establish the Bayesian asymptotic optimality of several multiple testing procedures in the literature for appropriately chosen false discovery rate levels. We also show by simulation that the Benjamini-Hochberg procedure with a false discovery rate level different from the asymptotically optimal one can lead to high Bayes risk.
This paper considers the use for Value-at-Risk computations of the so-called Beta-Kotz distribution based on a general family of distributions including the classical Gaussian model. Actually, this work develops a new method for estimating the Value-
at-Risk, the Conditional Value-at-Risk and the Economic Capital when the underlying risk factors follow a Beta-Kotz distribution. After estimating the parameters of the distribution of the loss random variable, both analytical for some particular values of the parameters and numerical approaches are provided for computing these mentioned measures. The proposed risk measures are finally applied for quantifying the potential risk of economic losses in Credit Risk.
Naive Bayes classifiers have proven to be useful in many prediction problems with complete training data. Here we consider the situation where a naive Bayes classifier is trained with data where the response is right censored. Such prediction problem
s are for instance encountered in profiling systems used at National Employment Agencies. In this paper we propose the maximum collective conditional likelihood estimator for the prediction and show that it is strongly consistent under the usual identifiability condition.
Complex biological processes are usually experimented along time among a collection of individuals. Longitudinal data are then available and the statistical challenge is to better understand the underlying biological mechanisms. The standard statisti
cal approach is mixed-effects model, with regression functions that are now highly-developed to describe precisely the biological processes (solutions of multi-dimensional ordinary differential equations or of partial differential equation). When there is no analytical solution, a classical estimation approach relies on the coupling of a stochastic version of the EM algorithm (SAEM) with a MCMC algorithm. This procedure needs many evaluations of the regression function which is clearly prohibitive when a time-consuming solver is used for computing it. In this work a meta-model relying on a Gaussian process emulator is proposed to replace this regression function. The new source of uncertainty due to this approximation can be incorporated in the model which leads to what is called a mixed meta-model. A control on the distance between the maximum likelihood estimates in this mixed meta-model and the maximum likelihood estimates obtained with the exact mixed model is guaranteed. Eventually, numerical simulations are performed to illustrate the efficiency of this approach.
Hamida Talhi Badjin Mokhtar University Annaba Algeria
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(2021)
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"Bayesian estimation of a competing risk model based on Weibull and exponential distributions under right censored data"
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Nadji Rahmania
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