Asymptotic properties of relative error estimation for accelerated failure time model with divergent number of parameters

Abstract

The paper considers the problem of parameter estimation in the accelerated failure time model with divergent number of parameters under fixed design. We propose an estimator based on the general relative error criterion. We show that the proposed estimator is consistent and asymptotically normal under mild regular conditions. We also propose a variable selection procedure and show its oracle property as well as the consistency of model selection. Numerical studies have been conducted to compare the performance of different general relative error based estimators.