, Volume 45, Issue 11, pp 1398-1407

Convergence rates of MLE in a partly linear model

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Abstract

This paper considers the estimation for a partly linear model with case 1 interval censored data. We assume that the error distribution belongs to a known family of scale distributions with an unknown scale parameter. The sieve maximum likelihood estimator (MLE) for the model’s parameter is shown to be strongly consistent, and the convergence rate of the estimator is obtained and discussed.