Estimating a distribution function with truncated data (Q5902859): Difference between revisions

Let X and Y be independent positive r.v.'s with unknown distribution functions F and G and let \((X_ 1,Y_ 1),...,(X_ N,Y_ N)\) be i.i.d. as (X,Y). Here the number N is assumed to be unknown. Suppose that one observes only those pairs \((X_ i,Y_ i)\) for which \(i\leq N\) and \(Y_ i\leq X_ i\). Denote \(n=\#\{i\leq N:\) \(Y_ i\leq X_ i\}\). The estimators \(\hat F_ n\), \(\hat G_ n\) and \(\hat N_ n\) for F, G and N, respectively, are described. Under some conditions on the d.f.'s F and G consistency results for these estimators are obtained. The convergence in distribution of the processes \(\sqrt{n}[\hat F_ n-F]\) to some Gaussian process is established.