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Authors: Roger Koenker
Title: [download]
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Censored Quantile Regression Redux
Reference: Vol. 27, Issue 6, Jul 2008
Submitted 2008-02-20, Accepted 2008-05-26
Type: Article
Abstract:

Quantile regression for censored survival (duration) data offers a more flexible alternative to the Cox proportional hazard model for some applications. We describe three estimation methods for such applications that have been recently incorporated into the R package quantreg: the Powell (1986) estimator for fixed censoring, and two methods for random censoring, one introduced by Portnoy (2003), and the other by Peng and Huang (2008). The Portnoy and Peng-Huang estimators can be viewed, respectively, as generalizations to regression of the Kaplan-Meier and Nelson-Aalen estimators of univariate quantiles for censored observations. Some asymptotic and simulation comparisons are made to highlight advantages and disadvantages of the three methods.

Paper: [download]
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Censored Quantile Regression Redux
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Supplements: [download]
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quantreg_4.17.tar.gz: R source package
(application/x-gzip, 547.2 KB)
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v27i06.R: R example code from the paper
(application/zip, 1 KB)
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v27i06-simulations.zip: R source code for simulations (Tables 2-7, Figures 4-5)
(application/zip, 1.8 MB)
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v27i06-simulations-tab1.zip: R source code for simulations (Table 1)
(application/zip, 2.3 KB)
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v27i06-simulations-fig3.zip: R source code for simulations (Figure 3)
(application/zip, 5.4 MB)
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Creative Commons License
This work is licensed under the licenses
Paper: Creative Commons Attribution 3.0 Unported License
Code: Commons GNU General Public License License
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