Asymptotic Results of a Nonparametric Conditional Quantile Estimator in the Single Functional Index Modeling under Random Censorship

Abstract The main objective of this paper is to estimate non-parametrically the quantiles of a conditional distribution based on the single-index model in the censorship model when the sample is considered as an independent and identically distributed (i.i.d.) random variables. First of all, a kernel type estimator for the conditional cumulative distribution function (cond-cdf) is introduced. Afterwards, we give an estimation of the quantiles by inverting this estimated cond-cdf, the asymptotic properties are stated when the observations are linked with a single-index structure. Simulation study is also presented to illustrate the validity and finite sample performance of the considered estimator. Finally, the estimation of the functional index via the pseudo-maximum likelihood method is discussed, but not tackled.