Groeneboom's cube-root-log local limit conjecture for interval-censoring case 2

Let F0F_0 and HH be continuously differentiable at t0t_0 and (t0,t0)(t_0,t_0), respectively, with strictly positive derivatives f0(t0)f_0(t_0) and h(t0,t0)h(t_0,t_0), where HH is the distribution function of (Ti,Ui)(T_i,U_i). Assume 0<F0(t0),H(t0,t0)<10<F_0(t_0),H(t_0,t_0)<1, and let F^n\hat F_n be the MLE of F0F_0. Groeneboom's local limit conjecture.

(nlogn)1/3F^n(t0)F0(t0){34f0(t0)2/h(t0,t0)}1/3D2Z,(n\log n)^{1/3}\frac{\hat F_n(t_0)-F_0(t_0)}{\{\frac34 f_0(t_0)^2/h(t_0,t_0)\}^{1/3}}\stackrel{{\cal D}}\longrightarrow 2Z,

where ZZ is the last time that standard two-sided Brownian motion minus the parabola y(t)=t2y(t)=t^2 reaches its maximum. This conjecture concerns the non-separated interval-censoring case, where observation intervals can be arbitrarily small.

Sources & referencesView supporting material

Primary source

Piet Groeneboom, “Nonparametric (smoothed) likelihood and integral equations”, arXiv:1205.1984 (2013).

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