Nielsen, Jens Perch () (Royal & SunAlliance, Codan) Tanggaard, Carsten () (Department of Finance, Aarhus School of Business) Jones, M. C. (Department of Statistics, Open University)
Abstract
A class of local linear kernel density estimators based on weighted least squares kernel estimation is considered within the framework of Aalen's multiplicative intensity model. This model includes the filtered data model that, in turn, allows for truncation and/or censoring in addition to accomodating unusual patterns of exposure as well as occurrence. It is shown that the local linear estimators corresponding to all different weightings have the same pointwise asymptotic properties. However, the weighting previously used in the literature in the i.i.d. case is seen to be far from optimal when it comes to exposure robustness, and a simple alternative weighting is to be preferred. Indeed, this weighting has, effectively, to be well chosen in a 'pilot' estimator of the survival funcition as well as in the main estimator itself. We also investigate multiplicative and additive bias correction methods within our framework. The multiplicative bias correction method proves to be best in a simulation study comparing the performance of the considered estimators.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. 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.
Publisher Info
Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number
03-9.
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.: