Abstract
This paper concerns estimating a probability density function $f$ based on iid observations from $g(x) = W^{-1} \, w(x) \, f(x) $, where the weight function $w$ and the total weight $W = \int \, w(x) \, f(x) \, d x $ may not be known. The length-biased and excess life distribution models are considered. The asymptotic normality and the rate of convergence in mean squared error (MSE) of the estimators are studied.
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Digital Object Identifier: 10.1214/074921706000000536