Estimating a Distribution Function with Truncated Data
Woodroofe, Michael
Ann. Statist., Tome 13 (1985) no. 1, p. 163-177 / Harvested from Project Euclid
Let $\mathscr{P}$ be a finite population with $N \geq 1$ elements; for each $e \in \mathscr{P}$, let $X_e$ and $Y_e$ be independent, positive random variables with unknown distribution functions $F$ and $G$; and suppose that the pairs $(X_e, Y_e)$ are i.i.d. We consider the problem of estimating $F, G$, and $N$ when the data consist of those pairs $(X_e, Y_e)$ for which $e \in \mathscr{P}$ and $Y_e \leq X_e$. The nonparametric maximum likelihood estimators (MLEs) of $F$ and $G$ are described; and their asymptotic properties as $N \rightarrow \infty$ are derived. It is shown that the MLEs are consistent against pairs $(F, G)$ for which $F$ and $G$ are continuous, $G^{-1}(0) \leq F^{-1}(0)$, and $G^{-1}(1) \leq F^{-1}(1). \sqrt N \times$ estimation error for $F$ converges in distribution to a Gaussian process if $\int^\infty_0 (1/G) dF < \infty$, but may fail to converge if this integral is infinite.
Publié le : 1985-03-14
Classification:  Nonparametric,  maximum likelihood estimation,  consistency,  asymptotic distributions,  62F20,  62G05
@article{1176346584,
     author = {Woodroofe, Michael},
     title = {Estimating a Distribution Function with Truncated Data},
     journal = {Ann. Statist.},
     volume = {13},
     number = {1},
     year = {1985},
     pages = { 163-177},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176346584}
}
Woodroofe, Michael. Estimating a Distribution Function with Truncated Data. Ann. Statist., Tome 13 (1985) no. 1, pp.  163-177. http://gdmltest.u-ga.fr/item/1176346584/