Asymptotic variances of maximum likelihood estimator for the correlation coefficient from a BVN distribution with one variable subject to censoring

作者：Nie Lei; Chen Yong; Chu Haitao^*

来源：Journal of Statistical Planning and Inference, 2011, 141(1): 392-401.

DOI：10.1016/j.jspi.2010.06.021

• Censoring
• Limit of detection
• Maximum likelihood estimator

This paper deals with the problem of estimating the Pearson correlation coefficient when one variable is subject to left or right censoring. In parallel to the classical results on the Pearson correlation coefficient, we derive a workable formula, through tedious computation and intensive simplification, of the asymptotic variances of the maximum likelihood estimators in two cases: (1) known means and variances and (2) unknown means and variances. We illustrate the usefulness of the asymptotic results in experimental designs. Published by Elsevier B.V.

• 出版日期2011-1