Abstract
In this paper,we extend Claeskens and Hjort's focused information criterion(FIC) for the censored linear model based on quantile regression,and propose an extended FIC for focused vector.We model different quantiles of the censored response to depict the comprehensive character of the distribution of the response and deal with outliers and heavy tailed model error.We further develop a model selection and averaging estimation procedure based on the extended focused information criterion and show the asymptotical property of the proposed estimators.We conduct a simulation study to detect the behavior of the proposed method compared with least square based method with finite sample sizes and analyze the primary biliary cirrhosis data set to illustrate the proposed method in applications.
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