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Nonparametric estimation of a distribution function from doubly truncated data under dependence

We introduce and extension of the Efron-Petrosian NPMLE when the lifetime and the truncation times may be dependent. The proposed estimator is constructed on the basis of a copula function which represents the dependence structure between the lifetime and the truncation times. Two different iterative algorithms to compute the estimator in practice are introduced, and their performance is explored through an intensive Monte Carlo simulation study.

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