Large Sample Behaviour of the Product-Limit Estimator on the Whole Line
Large Sample Behaviour of the Product-Limit Estimator on the Whole Line
Weak convergence results are proved for the product-limit estimator on the whole line. Applications are given to confidence band construction, estimation of mean lifetime, and to the theory of $q$-functions. The results are obtained using stochastic calculus and in probability linear bounds for empirical processes.