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Lajos Horvth
1.
Introduction
A random variable Y is said to be a lenght-biased distributed random
^
; xdF(x), 0 ^ t < ,
0
92
L. Horvth
y = ;xdF(x).
(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
-1 "^k
and
L. Horvth
93
1
^n = ^
.1
yi
F(t) =
p*
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 < - .
94
L. Horvth
assuming that EY
condition that EY
F(t) = v-^
;y"^dG(y),
where
V = EY"^ = ; y"^dG(y).
sup
|F(t)-F(t)hO
a.s.
L. Horvth
95
"
+ (av)-^
- v|+ v"^
G(t)-G(t)l.
"
(2.1)
v^ = i
V = EY-1
a.s.
and
(2.2)
;y-X(y)
0
"
= i
"
= EY'^HYO}
a.s.
We get from (2.1), (2.2) and from the Glivenko-Cantelli theorem that
lim sup
n ->
/ y
0
dG(y)
a.s.
lim
a-0
a
1
/ y ' dG(y) = 0
0
96
3.
L. Horvth
(3.1)
Whenever we write
OC-n)
lim sup
n
jR
a.s.
00
L. Horvth
97
and
hold.
Introduce
(3.2)
Ot<
0^t<<.
and
0<t<=o}
and
f;(t) = (G(t))-S,(t),
0<t<
0<t<co.
and
Let H^"^ and K^"^ denote the a-fields generated by the random variables
98
L. Horvth
0 < t < < } and {f(t), Kj."^ 0 < t < c o } are separable
satisfies the
following conditions:
(i)
(ii)
(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.
L. Horvth
99
aJ,^) =
sup
0,
n^.
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)|.
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
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).
t h e r e e x i s t a = a ( e , X) and
P{
sup
tg<t^a
t^li{t)\&(t)\>X}^e
P{
and
A s i m i l a r argunent shows t h a t
P{
and
P{
sup
t " ^ i l ( t ) ] B ( t ) | > X } ^ ,
L. Horvth
101
00
1 /
v(r) = /
du <co
"P
[logY]
1+6
; 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
;
0
_2
<
and
(y)dy
"
a(^) =
sup
t ' V
(t) - B(t)|
0(n-^)
102
L. Horvth
Proof. Let a(n) = n'^ with 0 < T < r ' ^ . Condition v(r)
<implies
(3,4)
lim t"''G(t) = 0.
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
t"^|B (t)
OSta(n)
"
0(exp(-T(r/2 - r6 - l)log n)(log log n)^^^),
THEOREM 3.3. If the conditions (3,3) (i) - (iii) are satisfied, then
L. Horvath
103
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).
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
= ; (1 - G(y))
0
d (/u"^ e*(u)du)
0
"
+ / 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
L. Horvth
105
a = a(n)
(a(n))
Let 6 > 0 . Using again Theorem of James (1975) and (3.4) we get
A^n^ (a(n))
O^tga(n)
"
106
L. Horvth
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.
of a^:
+ v"^ / y - 2 3^(y)dy
e^(y)dy
(4.1)
+ n - l / V ^ ; ^ F ( t ) ( ; y ' 2 (y)dy)2
L. Horvth
107
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).
{n^^^rn(t),
t<,
nl}
nsl}.
A^ =
sup M t ) l o i ^ ( t ) - r ( t ) | I 0. n-
108
L. Horvth
A^ ^
+ v"^
+ A(3)(t) + A^'^^T) +
where
=
= n-l/V^"^
sup
(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 ^
L. Horvth
109
OO
sup
(t)l
n(y)dyl
(4.4)
and therefore
lim
lim sup
P { Ai5)(T)>X} = 0
N-H
110
L. Horvth
and
lim
lim sup
>X} = 0
An=
O(n-P)
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:
L. Horvth
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
So we obtain that
aJ,^^
0(n"^/2log log n)
and
^(4) a.s. o(n-l/2iog log n),
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
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