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Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

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Author Info
Linton, Oliver B. () (Department of Economics)
Perch Nielsen, Jens () (Codan)
Van de Geer, Sara () (Mathematical Institute)

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

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

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Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark
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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 & 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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  3. W. H"Ardle & O. Linton, . "Nonparametric Regression," Sonderforschungsbereich 373 1995-29, Humboldt Universitaet Berlin.
  4. Oliver LINTON, . "Kernel estimation in a nonparametric marker dependent Hazard Model," Statistic und Oekonometrie 9313, Humboldt Universitaet Berlin. [Downloadable!]
  5. 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. [Downloadable!]
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Cited by:
(explanations, 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. 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. [Downloadable!] (restricted)
  2. 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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  3. Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series /2007/524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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