2024/03/05 by Baer, Benjamin R., Strawderman, Robert L. · 1 citation
#FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.2403.02840
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.