On a theory of martingales for censoring
Statistics Theory
2024-03-06 v1 Methodology
Statistics Theory
Abstract
A theory of martingales for censoring is developed. The Doob-Meyer martingale is shown to be inadequate in general, and a repaired martingale is proposed with a non-predictable centering term. Associated martingale transforms, variation processes, and covariation processes are developed based on a measure of half-predictability that generalizes predictability. The development is applied to study the Kaplan Meier estimator.
Keywords
Cite
@article{arxiv.2403.02840,
title = {On a theory of martingales for censoring},
author = {Benjamin R. Baer and Robert L. Strawderman},
journal= {arXiv preprint arXiv:2403.02840},
year = {2024}
}