On progressively truncated maximum likelihood estimators (Q1066579)

In a clinical trial, life-testing experiment, etc., continuous statistical monitoring over the study period (progressive truncation) is sometimes advocated with a view to a possibly early termination of the study. For independent random variables or processes with independent increments, the intricate relationships between the likelihood function equations and maximum likelihood estimators have been studied by a number of authors. In the context of a progressive truncation scheme such relationships have not been studied yet in full generality. In the present paper the basic regularity conditions pertaining to the asymptotic theory of progressively truncated likelihood functions and maximum likelihood estimators are considered, and the uniform strong consistency and weak convergence of progressively truncated maximum likelihood estimators are studied systematically.