Robust censored regression with l(1) -norm regularization

摘要

This paper considers inference in a linear regression model with random right censoring and outliers. The number of outliers can grow with the sample size while their proportion goes to zero. We make only very mild assumptions on the distribution of the error term, contrary to most other existing approaches in the literature. We propose to penalize the estimator proposed by Stute for censored linear regression by the l(1)-norm. We derive rates of convergence and establish asymptotic normality of the estimator of the regression coefficients. Our estimator has the same asymptotic variance as Stute's estimator in the censored linear model without outliers. Hence, there is no loss of efficiency as a result of robustness. Tests and confidence sets can therefore rely on the theory developed by Stute. The outlined procedure is also computationally advantageous, since it amounts to solving a convex optimization program. We also propose a second estimator which uses the proposed penalized Stute estimator as a first step to detect outliers. It has similar theoretical properties but better performance in finite samples as assessed by simulations. We apply the outlined procedures on data from the Ohio State transplant center.