The central limit theorem under random truncation

Abstract

Under left truncation, data $(X_i,Y_i)$ are observed only when $Y_i\le X_i$. Usually, the distribution function $F$ of the $X_i$ is the target of interest. In this paper, we study linear functionals $\intφ\mathrm{d}F_n$ of the nonparametric maximum likelihood estimator (MLE) of $F$, the Lynden-Bell estimator $F_n$. A useful representation of $\int φ\mathrm{d}F_n$ is derived which yields asymptotic normality under optimal moment conditions on the score function $φ$. No continuity assumption on $F$ is required. As a by-product, we obtain the distributional convergence of the Lynden-Bell empirical process on the whole real line.