Nonparametric regression of state occupation,entry, exit,and waiting times with multistate right‐censored data

We construct nonparametric regression estimators of a number of temporal functions in a multistate system based on a continuous univariate baseline covariate. These estimators include state occupation probabilities, state entry, exit, and waiting (sojourn) time distribution functions of a general progressive (e.g., acyclic) multistate model. We subject the data to right censoring, and the censoring mechanism is explainable by observable covariates that could be time dependent. The resulting estimators are valid even if the multistate process is non‐Markov. We study the performance of the estimators in two simulation settings. We establish large sample consistency of these estimators. We illustrate our estimators using a data set on bone marrow transplant recipients. Copyright © 2012 John Wiley & Sons, Ltd.