Penalized spline smoothing using Kaplan–Meier weights with censored data

In this paper, we consider the problem of nonparametric curve fitting in the specific context of censored data. We propose an extension of the penalized splines approach using Kaplan–Meier weights to take into account the effect of censorship and generalized cross‐validation techniques to choose the smoothing parameter adapted to the case of censored samples. Using various simulation studies, we analyze the effectiveness of the censored penalized splines method proposed and show that the performance is quite satisfactory. We have extended this proposal to a generalized additive models (GAM) framework introducing a correction of the censorship effect, thus enabling more complex models to be estimated immediately. A real dataset from Stanford Heart Transplant data is also used to illustrate the methodology proposed, which is shown to be a good alternative when the probability distribution for the response variable and the functional form are not known in censored regression models.