Variable Bandwidth Kernel Hazard Estimators
AbstractVariable kernel hazard estimators are considered in the case, where the bandwidth is allowed to depend on the exposure. Simulations show, that when the exposure varies substantially, then this can improve the performance of the basic kernel smoother con-siderable. A two-stage approach for kernel function smoothing of hazard functions is also suggested. The pilot estimator is a fixed bandwidth kernel estimator. The second and final estimator is a variable bandwidth kernel estimator, where the bandwidthis determined by Abramson's square root law, see Abramson (1982). This approach reduces the theoretical bias compared to the fixed andwidth kernel estimator, but simulations show that the exposure dependent kernel hazard estimators have better small sample performance.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 00-6.
Length: 53 pages
Date of creation: 01 Jun 2000
Date of revision:
Contact details of provider:
Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
More information through EDIRC
Counting Process Theory; Kernel estimation; Bias reduction; Variable Bandwidth; Predictability;
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.:
- Nielsen, Jens P. & Linton, Oliver & Bickel, Peter J., 1998. "On a semiparametric survival model with flexible covariate effect," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt).
If references are entirely missing, you can add them using this form.