Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · math/0604043

Further details on inference under right censoring for transformation models with a change-point based on a covariate threshold

Michael R. Kosorok·Rui Song
View original source ↗Read source document ↗Export metadata ↓

Abstract

We consider linear transformation models applied to right censored survival data with a change-point based on a covariate threshold. We establish consistency and weak convergence of the nonparametric maximum lieklihood estimators. The change-point parameter is shown to be $n$-consistent, while the remaining parameters are shown to have the expected root-$n$ consistency. We show that the procedure is adaptive in the sense that the non-threshold parameters are estimable with the same precision as if the true threshold value were known. We also develop Monte-Carlo methods of inference for model parameters and score tests for the existence of a change-point. A key difficulty here is that some of the model parameters are not identifiable under the null hypothesis of no change-point. Simulation students establish the validity of the proposed score tests for finite sample sizes.

Explore related subjects

math.STstat.TH

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Michael R. Kosorok, Rui Song. 2006-04-03. Further details on inference under right censoring for transformation models with a change-point based on a covariate threshold. https://arxiv.org/abs/math/0604043

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Sample complexity and weak limits of nonsmooth multimarginal Schrödinger system with application to optimal transport barycenter

Multimarginal optimal transport (MOT) has emerged as a useful framework for many applied problems. However, compared to the well-studied classical two-marginal optimal transport theory, analysis of MOT is far more challenging and remains much less developed. In this paper, we study the statistical estimation and inference problems for the entropic MOT (EMOT), whose optimal solution is characterized by the multimarginal Schrödinger system. Assuming only boundedness of the cost function, we derive sharp sample complexity for estimating several key quantities pertaining to EMOT (cost functional and Schrödinger coupling) from point clouds that are randomly sampled from the input marginal distributions. Moreover, with substantially weaker smoothness assumption on the cost function than the existing literature, we derive distributional limits and bootstrap validity of various key EMOT objects. As an application, we propose the multimarginal Schrödinger barycenter as a new and natural way to regularize the exact Wasserstein barycenter and demonstrate its statistical optimality.

math.ST↗
arXiv2026

Nonparametric spectral density estimation using interactive mechanisms under local differential privacy

We study the problem of estimating the spectral density of a centered stationary Gaussian time series under local differential privacy constraints. Specifically, we propose new interactive privacy mechanisms for three tasks: recovering a single covariance coefficient, recovering the spectral density at a fixed frequency, and global recovery. Our approach achieves faster rates through a two-stage process: we first apply the Laplace mechanism to the truncated value, and then use the resulting privatized sample to learn about the dependence mechanism in the time series. For spectral densities belonging to Hölder and Sobolev smoothness classes, we demonstrate that our algorithms improve upon the non-interactive mechanism of Kroll (2024) for small privacy parameter $α$, since the pointwise rates depend on $nα^2$ instead of $nα^4$. Moreover, we show that the rate $(nα^4)^{-1}$ is optimal for estimating a covariance coefficient with non-interactive mechanisms. However, the $L_2$ rate of our interactive estimator is slower than the pointwise rate. We show how to use these procedures to provide a bona fide locally differentially private estimator of the entire covariance matrix. A simulation study validates our findings.

math.ST↗
arXiv2026

Estimating eigenvectors and eigenspaces of covariance matrices: Optimal Bounds and Conditions for Consistency

Let $X = [ ξ_1, \,\, ξ_2,...\,\, ,ξ_d]^\top$ be a zero-mean random vector of large dimension $d$ ($d \rightarrow \infty$) with (hidden) covariance matrix $M = (m_{ij})_{1 \leq i, j \leq d},$ where $m_{ij} = m_{ji} = \textbf{Cov}(ξ_i, ξ_j).$ Let $X_1, X_2, \dots, X_n$ be $n$ iid samples of $X$. Consider the sample covariance matrix $$\textstyle \tilde{M} := \frac{1}{n} \sum_{i=1}^{n} X_i X_i^\top.$$ In practice, one frequently uses the eigenvectors and eigenspaces of $\tilde M$ as estimators for those of $M$. A central task is to provide an error analysis for these estimators. In this paper, we provide an optimal error analysis, obtaining upper and lower bounds of matching order of magnitude, for a wide range of parameters $d$ and $n$, under mild assumptions on $M$. As corollaries, we obtain new necessary and sufficient conditions for the consistency of the estimators. In these conditions, we only require the number of samples $n$ to depend linearly on the effective rank of $M$, which can be much smaller than the dimension $d$.

math.ST↗