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Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

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Author Info
Oliver Linton
Jens Perch Nielsen
Sara van de Geer

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Abstract

We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows for left truncation and right censoring. Our procedures are based on kernels and on the idea of marginal integration. We provide a central limit theorem for our estimator.

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Publisher Info
Paper provided by Suntory and Toyota International Centres for Economics and Related Disciplines, LSE in its series STICERD - Econometrics Paper Series with number /2001/411.

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Date of creation: Feb 2001
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Handle: RePEc:cep:stiecm:/2001/411

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Web page: http://sticerd.lse.ac.uk/publications/

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Related research
Keywords: Additive model censoring kernel proportional hazards survival analysis

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. J. P. Nielsen & O. B. Linton, . "An Optimization Interpretation of Integration and Backfitting Estimators for Separable Nonparametric Models," Sonderforschungsbereich 373 1996-88, Humboldt Universitaet Berlin.
  2. Oliver LINTON, . "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin. [Downloadable!]
  3. Oliver Linton & Enno Mammen & N Nielsen, 2000. "The Existence and Asymptotic Properties of a Backfitting Projection Algorithm under Weak Conditions," STICERD - Econometrics Paper Series /2000/386, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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  4. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.
  5. Felipe, Angie & Guillen, Montserrat & Perch Nielsen, Jens, 2000. "Longevity Studies Based on Kernel Hazard Estimation," Finance Working Papers 00-3, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  1. Woocheol Kim & Oliver Linton, 2003. "A Local Instrumental Variable Estimation Method for Generalized Additive Volatility Models," STICERD - Econometrics Paper Series /2003/456, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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