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A consistency result in general censoring models. (English) Zbl 1037.62099

Summary: We prove a consistency result for sieved maximum likelihood estimators of the density in general random censoring models with covariates. The proof is based on the method of functional estimation. The estimation error is decomposed in a deterministic approximation error and the stochastic estimation error. The main part of the proof is to establish a uniform law of large numbers for the conditional log-likelihood functional, by using results and techniques from empirical process theory.

MSC:

62N01 Censored data models
60F15 Strong limit theorems
62F12 Asymptotic properties of parametric estimators
62G30 Order statistics; empirical distribution functions
62G20 Asymptotic properties of nonparametric inference
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