Nonparametric Estimation of a Multivariate Distribution in the Presence of Censoring

This paper presents examples of situations in which one wishes to estimate a multivariate distribution from data that may be right-censored. A distinction is made between what we term 'homogeneous' and 'heterogeneous' censoring. It is shown how a multivariate empirical survivor function must be constructed in order to be considered a (nonparametric) maximum likelihood estimate of the underlying survivor function. A closed-form solution, similar to the product-limit estimate of Kaplan and Meier, is possible with homogeneous censoring, but an iterative method, such as the EM algorithm, is required with heterogeneous censoring. An example is given in which an anomaly is produced if censored multivariate data are analyzed as a series of univariate variables; this anomaly is shown to disappear if the methods of this paper are used.

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