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A generalization of the Kaplan-Meier estimator to Harris-recurrent Markov chains

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Abstract

In this paper we study an extension of the Kaplan Meier estimator to the case of dependent failure times. We assume that the failure times follow a Harris recurrent Markov Chain. We prove strong convergence of the estimator and weak convergence to a Gaussian process.

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Authors and Affiliations

  1. Institut für Mathematik, Technische Universität Ilmenau, PSF 327, D-98684, Ilmenau/Thür

    E. Liebscher

  2. An der Josefshöhe 21, D-53117, Bonn

    H. Schäbe

Authors
  1. E. Liebscher
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  2. H. Schäbe
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Liebscher, E., Schäbe, H. A generalization of the Kaplan-Meier estimator to Harris-recurrent Markov chains. Statistical Papers 38, 63–75 (1997). https://doi.org/10.1007/BF02925215

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  • DOI: https://doi.org/10.1007/BF02925215

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