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Right-censored models by the expectile method

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Abstract

Based on the expectile loss function and the adaptive LASSO penalty, the paper proposes and studies the estimation methods for the accelerated failure time (AFT) model. In this approach, we need to estimate the survival function of the censoring variable by the Kaplan–Meier estimator. The AFT model parameters are first estimated by the expectile method and afterwards, when the number of explanatory variables can be large, by the adaptive LASSO expectile method which directly carries out the automatic selection of variables. We also obtain the convergence rate and asymptotic normality for the two estimators, while showing the sparsity property for the censored adaptive LASSO expectile estimator. A numerical study using Monte Carlo simulations confirms the theoretical results and demonstrates the competitive performance of the two proposed estimators. The usefulness of these estimators is illustrated by applying them to three survival data sets.

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Acknowledgements

The author sincerely thanks the anonymous referees and the Associate Editor for their valuable and constructive suggestions which improved the quality of the paper.

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  1. Institut Camille Jordan, UMR 5208, Université Claude Bernard Lyon 1, Bat. Braconnier, 43, blvd du 11 novembre 1918, F - 69622, Villeurbanne Cedex, France

    Gabriela Ciuperca

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Ciuperca, G. Right-censored models by the expectile method. Lifetime Data Anal (2025). https://doi.org/10.1007/s10985-024-09643-w

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