Focused information criterion and model averaging in censored quantile regression |
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Authors: | Jiang Du Zhongzhan Zhang Tianfa Xie |
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Institution: | 1.College of Applied Sciences,Beijing University of Technology,Beijing,People’s Republic of China;2.Collaborative Innovation Center on Capital Social Construction and Social Management,Beijing,People’s Republic of China |
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Abstract: | In this paper, we study model selection and model averaging for quantile regression with randomly right censored response. We consider a semi-parametric censored quantile regression model without distribution assumptions. Under general conditions, a focused information criterion and a frequentist model averaging estimator are proposed, and theoretical properties of the proposed methods are established. The performances of the procedures are illustrated by extensive simulations and the primary biliary cirrhosis data. |
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