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Asymptotic confidence intervals for the length of the shortt under random censoring
Authors:J. Beirlant  J. H. J. Einmahl
Affiliation:Dept. of Mathematics, Catholic University Leuven, Celestijnenlaan 200 B. 3001 Heverlee, Belgium;Department of Mathematics and Computing Science, Eindhoven University of Technology, P.O. Box 513, 5600 MB Eindhoven, The Netherlands
Abstract:
A short t of a one dimensional probability distribution is defined to be an interval which has at least probability t and minimal length. The length of a show and its obvious estimator are significant measures of scale of a distribution and the corresponding random sample, respectively. In this note a non-parametric asymptotic confidence interval for the length of the (uniqueness is assumed) short t is established in the random censorship from the right model. The estimator of the length of the short t is based on the product-limit (PL) estimator of the unknown distribution function. The proof of the result mainly follows from an appropriate combination of the Glivenko-Cantelli theorem and the functional central limit theorem for the PL estimator.
Keywords:confidence interval    length of shortt    random censorship
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