The Central Limit Theorem Under Random Censorship
Let $\hat{F}_n$ be the Kaplan-Meier estimator of a distribution function $F$ computed from randomly censored data. We show that under optimal integrability assumptions on a function $\varphi$, the Kaplan-Meier integral $\int \varphi d\hat{F}_n$, when properly standardized, is asymptotically normal.