### Some data are "censored."

That means the response,

*â*, is unknown,
other than being smaller than some (noise) threshold value,

*â*_{th} (left-censored) or
greater than some saturation limit,

*â*_{sat} (right-censored). An unknown
value that is known to reside in some interval,

, is
interval-censored.

If the censoring value is substituted for the true, but unknown response,
an ordinary regression will produce a very skewed result because the line
will try to go through the censoring values, rather than the true (but
unknown) values.
You can see an example of *correct* censored regression
here, where the data plotted with
open symbols are unknown other than being left-censored.

MIL-HDBK-1823A relies on censored regression for continuous-response (*â
vs. a*) data.

### Why Ordinary Regression won't work:

If you don't know the true value of the response, it's obvious that you
also don't know how big the error is between the response and the regression
line relating the response to the independent variable. And
that means you can't minimize the summed-squared-errors because you don't
know the errors. So OLS (Ordinary Least-Squares) can't work.

(Well, OK, you can get it to work by giving it bogus values for the
unknown, censored, observations, but of course your answer will also be
bogus. You can't fool Mother Nature - even if you can fool yourself.)

You **may not** use ordinary regression methods
with censored data. You **can** use them - but
your answer will be **WRONG**.

### How Censored Regression works:

The method of least-squares has been quite successful for the more than
200 years since Gauss suggested it, so any new criterion would have to
compare favorably with OLS. R.A. Fisher revolutionized applied
statistics early in the 20th century with the idea of
likelihood - the probability that the
experiment turned out the way that it did.

*Figure 1: For ordinary observations, likelihood is the ordinate of the probability distribution of the errors. *

But when the observation is censored, we don't know the ordinate.
It could be *any* ordinate for which *â < â*_{th}.
So the likelihood for such left-censored observations is defined to be the
area under the probability density between
and
the censoring value, *â*_{th}.

Where OLS methods are applicable, parameter estimates using the maximum likelihood criterion are *
exactly* those based on the least-squares criterion. Not close;
exactly the same. So where the OLS methods can be used, the maximum
likelihood results agree perfectly. But where OLS isn't feasible MLE
works like a champ, providing robust parameter estimates for censored
regression models.