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aug 2006 Penalized projection estimators of the Aalen multiplicative intensity
Patricia Reynaud-Bouret
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Bernoulli 12(4): 633-661 (aug 2006). DOI: 10.3150/bj/1155735930

Abstract

We study the problem of nonparametric, completely data-driven estimation of the intensity of counting processes satisfying the Aalen multiplicative intensity model. To do so, we use model selection techniques and, specifically, penalized projection estimators for a random inner product. For histogram estimators, under some assumptions on the process, we obtain adaptive results for the minimax risk. In general, for more intricate (predictable) models, we only obtain oracle inequalities. The study is complemented by some simulations in the right-censoring model.

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Patricia Reynaud-Bouret. "Penalized projection estimators of the Aalen multiplicative intensity." Bernoulli 12 (4) 633 - 661, aug 2006. https://doi.org/10.3150/bj/1155735930

Information

Published: aug 2006
First available in Project Euclid: 16 August 2006

zbMATH: 1125.62027
MathSciNet: MR2248231
Digital Object Identifier: 10.3150/bj/1155735930

Keywords: adaptive estimation , counting processes , Model selection , multiplicative intensity model , penalized projection estimators

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

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Vol.12 • No. 4 • aug 2006
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