Generalized M-estimation for the accelerated failure time model. Issue 1 (2nd January 2016)

• Record Type: Journal Article
• Authors: Wang, Siyang; Hu, Tao; Xiang, Liming; Cui, Hengjian
• Is Part Of: Statistics. Volume 50:Issue 1(2016)
• Page Start: 114
• Page End: 138
• Publication Date: 2016-01-02
• Subjects: accelerated failure time model -- generalized M-estimator -- influence function -- Kaplan–Meier weights -- right censoring -- robustness; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2015.1032970
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : The accelerated failure time (AFT) model is an important regression tool to study the association between failure time and covariates. In this paper, we propose a robust weighted generalized M (GM) estimation for the AFT model with right-censored data by appropriately using the Kaplan–Meier weights in the GM–type objective function to estimate the regression coefficients and scale parameter simultaneously. This estimation method is computationally simple and can be implemented with existing software. Asymptotic properties including the root-n consistency and asymptotic normality are established for the resulting estimator under suitable conditions. We further show that the method can be readily extended to handle a class of nonlinear AFT models. Simulation results demonstrate satisfactory finite sample performance of the proposed estimator. The practical utility of the method is illustrated by a real data example.