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Statistics & Decisions 3, 91-113 (1985)

R. Oldenbourg Verlag, Mnchen 1985

ESTIMATION FROM A LEN6TH-BIASED DISTRIBUTION

Lajos Horvth

Received: Revised Version: February 10, 1984

Abstract. We prove the weak convergence and the strong approximation of


the process

- F ( t ) ) , where F^ is the nonparametric maximum

likelihood estimate of a lifetime distribution F on the bases of a sample


of size n from the lenght-biased distribution of F.

1.

Introduction
A random variable Y is said to be a lenght-biased distributed random

variable i f i t i s nonnegative and i t s distribution function has the form


1
G(t) = i

^
; xdF(x), 0 ^ t < ,
0

AUS 1980 subject Classification. 62 G 05, 62 C 12


Key words and phrases, Lenght-biased distribution, weak convergence,
streng ?ppr"yimt'tion

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92

L. Horvth

where F is a distribution function defined on the positive half line and

y = ;xdF(x).

G = Gp is usually called the length-biased distribution of F and it


arises naturally in many fields, Interesting applications can be found
in Cox (1969), Patil and Rae (1977, 1978), Coleman (1979) and Vardi
(1982b).
Cox (1969) and Vardi (1982a) considered the problem of finding a
nonparametric maximum likelihood estimate (NPMLE) of F on the basis of
a sample {Y^, l ^ i ^ n } fron G. Vardi (1982a) proposed a simple way of
finding a NPMLE of F which we briefly treat here.
Letyj<.

denote the ordered values of {Y^., l ^ i ^ n }

(h^n

because of possible ties) and let n^- be the multiplicity of the Y's at
y^. Vardi (1982a) showed that it is enough to maximize

(1.1)

log L(pj

p^) =

h
E p. = 1, p. > 0 ,
j=l ^
^
Solution of (1.1) is (p*,...
subject to

h
h
l^n. log(y.p.) - n log .^^ViPi

h and proved that the unique


, where

-1 "^k

and

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93

1
^n = ^

.1

yi

He proposed the estimate F^ for F to be

F(t) =

p*

Let I(A) denote the indicator of the event A. Introducing the


empirical distribution function of {Y^, l ^ i ^ n }

can be written in the form

F(t) =

y-X(y)

and

v = / y-'dG(y)
b
(throughout this paper / =
/ ).
a
[a,b)
The main aim of this paper i s to prove the weak convergence and the
strong approximation of

ctn(t) =

_ p^^)), 0 ^ t < - .

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Vardi (1982a) studied the weak convergence of (m + n)^^^ C^n-Hn^^^ "


F(t)), where F ^ ^ is based on two independent samples, one a sample of
size n from G and the other a sample of size m from F. His result
cannot be used in our case because he assumed that

lim m(m + n)"^>0.


n,m->>

Sen (1984) proved the weak convergence of a^ to a Gaussian process


_2

assuming that EY

<00. Actually, under the more stringent regularity


-2-5

condition that EY

< for some 6 > 0 , he obtained the Bahadur

representation of sample quantiles in length-biased sampling.


2. The strong unifomi consistency of F^
Throughout this paper we assume that G is continuous on [0,) from
which it follows that F is also continuous. An elementary calculation
shows that F is determined uniquely by G, namely

F(t) = v-^

;y"^dG(y),

where

V = EY"^ = ; y"^dG(y).

THEOREM 2.1. If v < , then

sup

|F(t)-F(t)hO

a.s.

Proof. Let 0<a<'. Integrating by parts we obtain that

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95

sup |F (t) - F{t)|^v-^|v

"
+ (av)-^

- v|+ v"^

supl ;y"^d(G (y) - G(y))

- v| + v"^ / y ' ^ d G (y) + v"^ / y"^dG(y)


0
"
0
supl
a^t

G(t)-G(t)l.
"

The Kolmogorov law of large numbers implies that

(2.1)

v^ = i

V = EY-1

a.s.

and

(2.2)

;y-X(y)
0
"

= i
"

S YT^ I { Y . < a } - / y ' ^ dG(y)


1=1 ^
^
0

= EY'^HYO}

a.s.

We get from (2.1), (2.2) and from the Glivenko-Cantelli theorem that

lim sup
n ->

supl F (t) - F(t)| ^ 2v"^


0^t<"

/ y
0

dG(y)

a.s.

but on the other hand

lim
a-0

a
1
/ y ' dG(y) = 0
0

so we proved Theorem 2.1.

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3.

L. Horvth

Weak and strong approximation of the empirical process


Approximations of a^ will be derived fron the well-known approxitna-

tions of the empirical process

Without loss of generality we can assume that our probability space


{Q, , P ) is so rieh that the approximation

(3.1)

sup | (t) - B (t)|

of Komls, Major and Tusndy (1975) holds. Here B^ is a two-parameter


Guassian process with zero mean and covariance

EB^(x)B|jj(y) = (mn)'^^^(mAn)(G(XAy) - G(x)G(y)) (a A b=min(a,b)),

Whenever we write

OC-n)

for a sequence of random variables R^ and positive constants r^ we


mean that

lim sup
n

jR

a.s.

00

with a non-random positive constant C.

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97

We need a weighted Version of (3.1) in the proof of the weak


convergence of ct^. For each S(0,'") let

denote the 0-field

generated by the random variables {3^(u): O s u ^ s } and let g^"^ denote


the a-field generated by the random variables {B^(u): O g u ^ s } . Observe
that for each s t and n = 1,2,... both F^"^

and

hold.

Introduce

(3.2)

e*(t) = (1 - G(t))-^ ^(t),

Ot<

en(t) = (1 - G(t))-^ B(t),

0^t<<.

and

It is well-known and easy to show that both {e*(t),


{e^(t),

0<t<=o}

and

0 < t < " } are separable Square integrable martingales for

each n. The martingale propertieis of e*, e^ will be very useful when we


deal with the processes near to zero. But when we investigate the
behavior of a^ near to infinity we have to replace e*, e^ by

f;(t) = (G(t))-S,(t),

0<t<

fn(t) = (G(t))-^ B^(t),

0<t<co.

and

Let H^"^ and K^"^ denote the a-fields generated by the random variables

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98

L. Horvth

s ^ u < < } and {B^(u): s ^ u < " } , respectively. It is well known


that {f*(t),

0 < t < < } and {f(t), Kj."^ 0 < t < c o } are separable

Square integrable reverse martingales for each n.


In the following section we prove not only the weak convergence of
a^ to a Gaussian process but we will get the convergence of ct^ in weighted
metric. We assume that the weight function Jl(t), 0 ^ t < ~

satisfies the

following conditions:

(i)

. is a nonnegative function on (tg, Tg), where


(tg, Tg) is the Support of G

(ii)

there exist two possibly degenerate intervals (tg, a)

(3.3)

and (b, Tg), t g ^ a < b g T g , so that J!,(t) is nonincreasing on (tg, a) and t'^Jl(t) nondecreasing on
(b. Tg),

sup

t"^A(t)<

00

(iii) ; t"2(Mt))2dG(t)
0

If A(t) = 1 then the conditions (3.3) (i), (ii) are satisfied and (iii)
is equivalent to E Y " ^ < . If EY'^^^'^'") < r > 0 ,

and

q > 0 , then

we can choose the following weight function:

Mt) =

t"*^ ,

0 < t < a,

constant,

a s t^ b.

where a and b are arbitrary constants.

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99

THEOREM 3.1. I f the conditions (3.3) ( i ) - ( i i i ) are s a t i s f i e d , then

aJ,^) =

sup

Jl(t)t'^ |_(t) - B(t)| t

0,

n^.

Proof. Let t g ^ a < b T g as i n (3.3) ( i i ) . Dividing the p o s i t i v e


h a l f l i n e i n t o three parts w i t h the points a and b we get

a(^) ^ sup
"
a^t^b

t"^ll(t) |(t) - B ( t ) |
"
"

sup f ^ ( t )
tg<t<a

sup t " ^ J l ( t ) | B ( t ) | +
sup t " ^ ) l ( t ) l
tg<t<a
"
b<t<Tg

sup t - ^ Z ( t ) | B
b<t<Te

|(t)|

(t)|

(t)|.

The f i r s t term goes to zero almost surely by ( 3 . 1 ) . Using Theorem 5.1


of Birnbaum and Marshall we obtain t h a t

P{

= P{

sup t ' ^ J l ( t ) |
tgctsa
sup
tg<ta

ft)|>X}

t \ { t ) { l - G(t))

le;(t)|>X}

^ X-2

; t - V ( t ) ( l - G(t))2dE(e;(t))2

; t"^ji^(t)dG(t)
0

and

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100

L. Horvth

P{

sup

t " ^ ( t ) | f t ) l >X}

= P{

sup

t"^Jl(t)G(t)|f*(t)|>X}

/ t"2((t))2dG(t).

So we proved t h a t f o r each X>0 and o O

t h e r e e x i s t a = a ( e , X) and

b = b(E, X) such t h a t f o r each n

P{

sup
tg<t^a

t^li{t)\&(t)\>X}^e

P{

sup t"^Jl(t) l ( t ) | >X} ^ e,


b^t<Te

and

A s i m i l a r argunent shows t h a t

P{

sup t " ^ ( t ) | B ( t ) l > X } ^ e


Osta
"

and

P{

sup

t " ^ i l ( t ) ] B ( t ) | > X } ^ ,

and t h e r e f o r e we proved t h i s theorem.


When approximating a^ s t r o n g l y , c o n d i t i o n s of t h e form

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101

00

1 /

v(r) = /

du <co

will play an important role. This is slightly strenger than EY '"<o>


but EY

"P

[logY]

1+6

<'=with any 6 > 0 implies v(r) < " (see Appendix of

Hoeffding (1973)). The integrals

; y'^B (y)dy
0
"
will appear in the approximating Gaussian processes. These integrals
exist as Lebesgue integrals if and only if v(2)<', because

E /y'^|B(y)|dy =
0
"

/y"^G(y)(l 0

On the other hand, these integrals exist as improper Riemann integrals


under the condition EY

;
0

_2

<

and

(y)dy
"

is continuous for each n, as a function of t, O t < ~ , by Theorem 3 of


2 in Chapter 2 of Skorohod (1965).
THEOREM 3.2. If v(r) < < for some r > 2, then

a(^) =

sup

t ' V

(t) - B(t)|

0(n-^)

for any 0 < X < 1/2- 1/r.

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102

L. Horvth

Proof. Let a(n) = n'^ with 0 < T < r ' ^ . Condition v(r)

<implies

that EY"*" << and therefore

(3,4)

lim t"''G(t) = 0.

We get from (3.1) that

sup f ^ l (t) - B (t)|


a(n)^t<
"
"

Using Theorem of James (1975) and (3.4) we obtain for any 0 < 6 < l / 2

that

sup
f ^ l (t)|
Ost^a(n)
"

sup
t-\G(t))^/2-6
O^t^a(n)

sup (G(t))-1/2|3 (t)|


0^t<<=
"

0(exp(-T(r/2 - r - l)log n)(log log n)^^^).

Corollary 1.15.2 in Csrg and Revesz (1981) implies that

sup
t"^|B (t)
OSta(n)
"
0(exp(-T(r/2 - r6 - l)log n)(log log n)^^^),

If we choose 6 near zero and T near

we get the theorem.

THEOREM 3.3. If the conditions (3,3) (i) - (iii) are satisfied, then

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103

for each t, tg < t <Tq

a(2)(t) = sup |Jl(t) ; y " ^ _ ( y ) - B (y))dy| & 0, n - - .


"
OStST
0
Proof. Let tg < a < t. We obtain by a simple manipulation that

sup

l{t) sup

len(t)-B(t)|

t
sup |)i(t) ;y'^e-(y)dy|
O^ta
0
"

t
p
sup iMt) ; y
B (y)dy|
O^tta
0

(3.5)

= 42)(a).A(2)(a).A(2)(a).

Introduce now the process

e**(t) = J y " ^ e;(y)dy - t"^ e^Ct).

where e* is defined by (3.2). It is routine to establish that


{e**(t),

0 ^ t < " } is a separable square integrable martingale for

each n. Notice also that by the c^-inequality (Loeve (1960), p. 155)

E(e!*(t))2 ^ 2 / / x ' V ^ l - G(x))-\l - G(y))-^


"
0 0
(G(XAy) - G(x)G(y))dxdy

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104

L. Horvth

- 2t"^(l - G{t))"^G(t)

t
?
^ 16 / y"^dG(y),
0
if G(t) ^ 1/2. We can assume that G(a) ^ 1/2.
Integrating by parts we get

/y'^0n(y)dy = / y'^ e;(y)(l - 6(y))dy

= ; (1 - G(y))
0

d (/u"^ e*(u)du)
0
"

= (1 - G(t))e;*(t) + (1 - G(t))t"^ B*{t)

+ / e n y ) d G ( y ) - / y"^ e*(y)d6(y).
0 "
0
"
We have for each X > 0 by the Birnbaum-Marshal1 inequality that

sup |Jl(t)e**(t)| >X/4}


tg<t^a
"
+ P{

sup |t"^Jl(t)e*(t)| > X/4}


tg<t^a

^ 16X-2 /2(t)dE(e;;*(t))2 + 16X"2 J t-V(t)dE(e;;(t))2


0
"
0
"
^ 272X"^ ; t'V(t)dG(t).

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105

If we replace e* by e^ in the previous inequalities we get

>X} ^ 272X"^ J t"^Jl^(t)dG(t)

for each X > 0 , and the proof of Theorem 3.3 is complete.


Next we prove a streng Version of Theorem 3.3.
THEOREM 3.4. If v(r) <<" for some r > 2 , then

for any 0 < p < l / 2 - 1/r.


Proof. Let a(n) = n""^ with 0 < T < r " ^ . Let l(t) = 1, t =

a = a(n)

in (3.5). Then we obtain by (3.1) that

(a(n))

Let 6 > 0 . Using again Theorem of James (1975) and (3.4) we get

A^n^ (a(n))

O^tga(n)

"

0(exp((l/2 - 1/r - 6)log G(a(n)))(log log

0(exp(-Tr(l/2 - 1/r - 26)log n).

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106

L. Horvth

I f we Substitute James theorem for Corollary 1.15.2 in Csrg and


Revesz we obtain in a similar way as before that

0(exp(-Tr(l/2 - 1/r - 26)log n),

The theorem is proved because 6 > 0 is arbitrary small and t < 1 can be
so d o s e to r"^ as we wish.

4.

Weak and streng approximation of a^


Integrating by parts we get the following almost sure representation

of a^:

o'n(t) = v " ^ " ^

+ v"^ / y - 2 3^(y)dy

e^(y)dy

(4.1)
+ n - l / V ^ ; ^ F ( t ) ( ; y ' 2 (y)dy)2

- n - l / V ^ - ^ I t " ^ 3n(t) + ; y - 2 ^(y)dy} / y ' ^ n(y)dy.

This form of a^ suggests that the approximation processes will be

rn(t) = v-^t"^ B(t) + v'^ } y"2 B(y)dy - v " V ( t ) / y"^B^(y)dy

= v"^ J y-^dB (y) - v"^F(t) ; y"^dB (y).


0
"
0
"

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107

I t IS easy to check that { r ^ ( t ) , 0 ^ t < o o } are Gaussian processes with


expectation zero and covariance

Er(x)r^(y) =

- F(x) g (y)

(4.2)
- F(y)a{x) + F(x)F{y)o}.

where

a(t) = v ' ^

/y"^dG(y)
0

and

a = lim a ( t ) = v
t->

/ y
0

dG(y).

Let {W(u, v ) , u i O , v ^ O } denote a two-parameter Wiener process.


By (4.2) the following representation holds:

{n^^^rn(t),

t<,

nl}

= {W(a(t), n) - F(t)W(a, n),

nsl}.

THEOREM 4.1. I f the conditions (3.3) ( i ) - ( i i i ) are s a t i s f i e d ,


then

A^ =

sup M t ) l o i ^ ( t ) - r ( t ) | I 0. n-

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L. Horvth

Proof. Let tQ<T<Tg. Clearly,


(4.3)

A^ ^

+ v"^

+ A(3)(t) + A^'^^T) +

where
=

en(y)dy)^ sup Jl(t)F(t),

= n-l/V^"^

sup

(t)

n(y)dy|-| / y"^ n(y)dy|.


"

"

a(5)(t) = sup |)l(t)(x^(t)


and
aJ^^t) =

sup U ( t ) r

(t)|,

^(l)' and AI
a(2)' go to zero in
It follows fron Theorems 3.1 and 3,3 that A^
n
n ^

probability. These theorems and condition (3.3)(iii) imply that


1^1/2 ^(3) gi^j 1^1/2 ^(4) i^g^g nondegenerate limit distributions and
v^ goes to V in probability.
An elementary calculation shows that

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109

OO

sup v;;^Jl(t)| / y - 2 en(y)dy|


Tt<o
t

sup

(t)l

sup Jl(t)(l - F(t))v;;^i

n(y)dyl

Condition (3.3) ( i ) implies that

(4.4)

lim Jl(t)(l - F(t)) = 0


t-x-

and therefore

lim

lim sup

P { Ai5)(T)>X} = 0

for each X > 0.


Introducing the process

f ; (t) = ; y"'f*(y)dy - t-'f;(t)

we can repeat the proofs of Theorems 3.1 and 3.3, because


{f**(t), Itj."^. 0 < t < " } is a separable square integrable reversi
martingale. Using the Birnbaum-Marshall inequality again we get

lim lim sup PlA^J^ (T)> X} = 0


T->

N-H

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110

L. Horvth

and

lim lim sup P{Af|2^(T) >X} = 0


x-KD
n-x
for each X > 0 . A similar argument shows that

lim

lim sup

>X} = 0

for each X > 0 and so we proved this theorem.


The weak convergence of ct^ is a simple consequence of Theorem 4.1.
Corollary. If EY"^<oo, then

sup la(t) - r (t)| 0. n->co.

THEOREM 4.2. If v(r) <-. for scme r > 2, then

An=

sup |a_(t) - r (t)|

O(n-P)

for any 0<p<l/2 - 1/r.


Proof. Let T = Tg, JL(t) = 1. Then

A(5)=A(^)=0
n
n

a.s.

We follow the proof of Theorem 4.1, but we have to use Theorems 3.2 and
3.4 instead of Theorems 3.1 and 3.3:

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O(n-P)

and

a(2)

O(n-P).

If follows fron James theorem and (3.3) that for each 0 < 6 < l / 2 - 1/r
t .2
sup I J y
e_(y)dy|
Ot<
0

0
O((log log n)^/^)

and

sup t"^(t)| ^ sup t'^GCt))^/*" sup


Ot<
Ot<<
Oit<
O((log log n)^/^).

So we obtain that

aJ,^^

0(n"^/2log log n)

and
^(4) a.s. o(n-l/2iog log n),

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112

L. Horvth

References
[1] Birnbaum, Z. W. and Marshall, A. W.: Some multivariate Chebyshev
inequalities with extensions to continuous parameter processes.
Ann. Math. Statist. 32 (1961), 687 - 703
[2] Coleman, R.: An Introduction to Mathematical Stereology. Memoirs
No. 3, Dept. of Theoretical Statistics, Univ. of Aarhus,
Dermark (1979)
[3] Cox, D. R.: Some sampling problems in technology. New Developments
in Survey Sampling (N. L, Johnson and H. Smith, Eds.) (1969),
506 - 527
[4] Csrg, M. and Revesz, P.: Strong Approximations in Probability
and Statistics, New York - San Francisco - London, Academic
Press (1981)
[5] Hoeffding, W.: On the centering of simple linear rank statistic.
Ann. Statist. 1 (1973), 54 - 66
[6] James, B. R.: A functional law of the iterated logarithm for
weighted empirical distributions. Ann. Probability 3 (1975),
762 - 772
[7] Komi S, J., Major, P., Tusndy, G.: An approximation of partial
sums of independent r.v.'s and the sample d.f., I. Z. Wahrscheinlichkeitstheorie verw. Gebiete 32 (1975), III - 131
[8] Loeve, M.: Probability Theory. Second Ed. Princeton, Van
Nostrand (1960)
[9] Patil, G. P, and Rao, C. R.: Weighted distributions: A survey of
their applications. Applications of Statistics (P. R. Krishnaiah,
Ed.) (1977), 383 - 405

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Ii 3

L. Horvth

[10] Patil, G. P. and Rao, C. R.: Weighted distributions and sizebiased sampling with applications to wildlife populations and
human families. Biometrics 34 (1978), 179 - 189
[11] Sen, P. K.: On asymptotic representations for reduced quantiles
in sampling frcxn a length-biased distribution.
Calcutta Statistical Association Bulletin 33 (1984), 59 - 67
[12] Skorohod, A. V.: Studies in the Theory of Random Processes.
Reading, Addison-Wesley (1965)
[13] Vardi, Y.: Nonparametric estimation in the presence of lengthbias. Ann. Statist. 10 (1982a), 616 - 620
[14] Vardi, Y.: Nonparametric estimation in renewal process. Ann.
Statist. 10 (1982b), 772 - 785

Lajos Horvth
Szeged University
Bolyai Institute
Aradi vertanuk tere 1
H-6720 Szeged
Hungary

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Download Date | 1/13/15 6:46 PM

Brought to you by | New York University Bobst Library Technical Services


Authenticated
Download Date | 1/13/15 6:46 PM