Advanced Search
MyIDEAS: Login to save this paper or follow this series

Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Contents:

Author Info

  • Linton, Oliver B.

    ()
    (Department of Economics)

  • Perch Nielsen, Jens

    ()
    (Codan)

  • Van de Geer, Sara

    ()
    (Mathematical Institute)

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.

Download Info

If 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.
File URL: http://www.hha.dk/fin/finance/Research/D01_2.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Helle Vinbaek Stenholt)
Download Restriction: no

Bibliographic Info

Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 01-2.

as in new window
Length: 36 pages
Date of creation: 21 Feb 2001
Date of revision:
Handle: RePEc:hhb:aarfin:2001_002

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

Related research

Keywords: Additive Model; Censoring; Kernel; Proportional Hazards; Survival Analysis;

Other versions of this item:

Find related papers by JEL classification:

References

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.:
as in new window
  1. Enno Mammen & Oliver Linton & J Nielsen, 2000. "The existence and asymptotic properties of a backfitting projection algorithm under weak conditions," LSE Research Online Documents on Economics 2315, London School of Economics and Political Science, LSE Library.
  2. Oliver LINTON, . "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin.
  3. Felipe, Angie & Guillen, Montserrat & Perch Nielsen, Jens, 2000. "Longevity Studies Based on Kernel Hazard Estimation," Finance Working Papers 00-3, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  4. Masry, Elias, 1996. "Multivariate regression estimation local polynomial fitting for time series," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 81-101, December.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Woocheol Kim & Oliver Linton, 2004. "A local instrumental variable estimation method for generalized additive volatility models," LSE Research Online Documents on Economics 24758, London School of Economics and Political Science, LSE Library.
  2. Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
  3. Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 403-423, September.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhb:aarfin:2001_002. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.