The central limit theorem under random truncation
Stute, Winfried ; Wang, Jane-Ling
Bernoulli, Tome 14 (2008) no. 1, p. 604-622 / Harvested from Project Euclid
Under left truncation, data (Xi, Yi) are observed only when Yi≤Xi. Usually, the distribution function F of the Xi is the target of interest. In this paper, we study linear functionals ∫ϕ dFn of the nonparametric maximum likelihood estimator (MLE) of F, the Lynden-Bell estimator Fn. A useful representation of ∫ϕ dFn is derived which yields asymptotic normality under optimal moment conditions on the score function ϕ. No continuity assumption on F is required. As a by-product, we obtain the distributional convergence of the Lynden-Bell empirical process on the whole real line.
Publié le : 2008-08-15
Classification:  central limit theorem,  Lynden-Bell integral,  truncated data
@article{1219669622,
     author = {Stute, Winfried and Wang, Jane-Ling},
     title = {The central limit theorem under random truncation},
     journal = {Bernoulli},
     volume = {14},
     number = {1},
     year = {2008},
     pages = { 604-622},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1219669622}
}
Stute, Winfried; Wang, Jane-Ling. The central limit theorem under random truncation. Bernoulli, Tome 14 (2008) no. 1, pp.  604-622. http://gdmltest.u-ga.fr/item/1219669622/