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Central limit theorem of linear regression model under right censorship

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Abstract

In this paper, the estimation of joint distributionF(y, z) of (Y,Z) and the estimation in the linear regression modelY = b′Z + ε for complete data are extended to that of the right censored data. The regression parameter estimates ofb and the variance ofε are weighted least square estimates with random weights. The central limit theorems of the estimators are obtained under very weak conditions and the derived asymptotic variance has a very simple form.

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Authors and Affiliations

  1. MAM and School of Mathematical Sciences, Peking University, 100871, Beijing, China

    Shuyuan He

  2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China

    Xiang Huang

Authors
  1. Shuyuan He
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  2. Xiang Huang
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Correspondence to Shuyuan He.

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He, S., Huang, X. Central limit theorem of linear regression model under right censorship. Sci. China Ser. A-Math. 46, 600–610 (2003). https://doi.org/10.1360/02ys0139

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  • DOI: https://doi.org/10.1360/02ys0139

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