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I am working with a specific type of data where the non-parametric step-function estimator of the survival function is underestimating the true survival function for small sample sizes yet I can prove that the estimator is uniformly consistent. Are there specific regularization techniques or some other types of techniques that can be applied to "empirical cdf-like" estimators which improve the performance in small samples?

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  • $\begingroup$ For this to be answerable you need to give more details! $\endgroup$ May 10 at 16:03

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