Linear Regression with Censoring

Koul, Susarla and Van Ryzin (1981, Ann. Statist. 9, 1276-1288) proposed a generalization of the ordinary least squares estimator in linear models with censored data. This paper uses counting processes and martingale techniques to provide a proof of the asymptotic normality of the estimator. A detailed analysis of the asymptotic variance is presented.