Statistics and Its Interface
Volume 17 (2024)
Special issue in honor of Professor Lincheng Zhao
Asymptotic properties of relative error estimation for accelerated failure time model with divergent number of parameters
Pages: 107 – 125
The paper considers the problem of parameter estimation in the accelerated failure time model with divergent number of parameters under fixed design. We propose an estimator based on the general relative error criterion. We show that the proposed estimator is consistent and asymptotically normal under mild regular conditions. We also propose a variable selection procedure and show its oracle property as well as the consistency of model selection. Numerical studies have been conducted to compare the performance of different general relative error based estimators.
general relative error, accelerated failure time model, divergent number of parameters, variable selection
2010 Mathematics Subject Classification
Primary 62F12. Secondary 62J99.
This work was supported by the National Natural Science Foundation of China (Grant No. 12271286 and No. 11931001).
Received 15 November 2022
Accepted 15 August 2023
Published 27 November 2023