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Statistics & Decisions 3, 91-113 (1985)

Lajos Horvth

the process

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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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

, where

-1 "^k

and

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1
^n = ^

.1

yi

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

n,m->>

_2

assuming that EY

<00. Actually, under the more stringent regularity

-2-5

condition that EY

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).

sup

|F(t)-F(t)hO

a.s.

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"
+ (av)-^

- v|+ v"^

0
"
0
supl
a^t

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

(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 ->

0^t<"

/ y
0

dG(y)

a.s.

lim
a-0

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

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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-

Without loss of generality we can assume that our probability space

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

(3.1)

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)

mean that

lim sup
n

jR

a.s.

00

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

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

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)

Ot<

0^t<<.

and

{e^(t),

0<t<=o}

and

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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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

Mt) =

t"*^ ,

0 < t < a,

constant,

a s t^ b.

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99

aJ,^) =

sup

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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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

but EY

"P

[logY]

1+6

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-^)

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

<implies

that EY"*" << and therefore

(3,4)

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

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)

0^t<<=
"

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)^^^),

we get the theorem.

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

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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).

{e**(t),

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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- 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

= ; (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

tg<t^a
"
+ P{

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

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)

"

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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

0
"
0
"

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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}

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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Proof. Let tQ<T<Tg. Clearly,

(4.3)

A^ ^

+ v"^

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

where
=

= n-l/V^"^

sup

(t)

"

"

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

Tt<o
t

sup

(t)l

n(y)dyl

(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

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

T->

N-H

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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

An=

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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References
 Birnbaum, Z. W. and Marshall, A. W.: Some multivariate Chebyshev
inequalities with extensions to continuous parameter processes.
Ann. Math. Statist. 32 (1961), 687 - 703
 Coleman, R.: An Introduction to Mathematical Stereology. Memoirs
No. 3, Dept. of Theoretical Statistics, Univ. of Aarhus,
Dermark (1979)
 Cox, D. R.: Some sampling problems in technology. New Developments
in Survey Sampling (N. L, Johnson and H. Smith, Eds.) (1969),
506 - 527
 Csrg, M. and Revesz, P.: Strong Approximations in Probability
and Statistics, New York - San Francisco - London, Academic
Press (1981)
 Hoeffding, W.: On the centering of simple linear rank statistic.
Ann. Statist. 1 (1973), 54 - 66
 James, B. R.: A functional law of the iterated logarithm for
weighted empirical distributions. Ann. Probability 3 (1975),
762 - 772
 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
 Loeve, M.: Probability Theory. Second Ed. Princeton, Van
Nostrand (1960)
 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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 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
 Sen, P. K.: On asymptotic representations for reduced quantiles
in sampling frcxn a length-biased distribution.
Calcutta Statistical Association Bulletin 33 (1984), 59 - 67
 Skorohod, A. V.: Studies in the Theory of Random Processes.
 Vardi, Y.: Nonparametric estimation in the presence of lengthbias. Ann. Statist. 10 (1982a), 616 - 620
 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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