Sequential fixed width confidence intervals for regression parameters from censored data with a discrete covariate

Abstract

Sequential fixed width interval estimation procedure is considered in a simple linear regression model where the independent variable (covariate) assumes only a finite number of values and the dependent variable (response) is randomly right censored. The censoring distribution may depend on the covariate values. The sequential procedure is shown to be consistent and efficient as the width of the confidence interval decreases to zero. The asymptotic distribution of the underlying stopping rale is obtained

Keywords:

• Kaplan — Meier estimator
• asymptotic normality
• right censored data
• stopping time
• efficiency
• consistency