Central limit theorem of linear regression model under right censorship

摘要

In this paper, the estimation of joint distribution F(y,z) of (Y,Z) and the estimation in the linear regression model Y = b′Z + ε for complete data are extended to that of the right censored data. The regression parameter estimates of b and the variance of ε 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.