Asymptotic Normality of an M-estimator of regression function for truncated-censored data under alpha-mixing condition
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In this paper, we establish weak consistency and asymptotic normality of an M-estimator of the regression function for left truncated and right censored (LTRC) model, where it is assumed that the observations form a stationary alpha-mixing sequence. The result holds with unbounded objective function, and are applied to derive weak consistency and asymptotic normality of a kernel classical regression curve estimate. We also obtain a uniform weak convergence rate for the product-limit estimator of the lifetime and censored distribution under dependence, which are useful results for our study and other LTRC strong mixing framework. Some simulations are drawn to illustrate the results for finite sample.
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