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Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels

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Author Info
Taoufik Bouezmarni
Jeroen V.K. Rombouts () (IEA, HEC Montréal)

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Abstract

In this paper we consider the nonparametric estimation for a density and hazard rate function for right censored ?-mixing survival time data using kernel smoothing techniques. Since survival times are positive with potentially a high concentration at zero, one has to take into account the bias problems when the functions are estimated in the boundary region. In this paper, gamma kernel estimators of the density and the hazard rate function are proposed. The estimators use adaptive weights depending on the point in which we estimate the function, and they are robust to the boundary bias problem. For both estimators, the mean squared error properties, including the rate of convergence, the almost sure consistency and the asymptotic normality are investigated. The results of a simulation demonstrate the excellent performance of the proposed estimators.

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Publisher Info
Paper provided by HEC Montréal, Institut d'économie appliquée in its series Cahiers de recherche with number 06-16.

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Length: 25 pages
Date of creation: Dec 2006
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Handle: RePEc:iea:carech:0616

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Postal: Institut d'économie appliquée HEC Montréal 3000, Chemin de la Côte-Sainte-Catherine Montréal, Québec H3T 2A7
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Related research
Keywords: Gamma kernel; Kaplan Meier; density and hazard function; mean integrated squared error; consistency; asymptotic normality.;

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This paper has been announced in the following NEP Reports: References listed on IDEAS
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  1. Lejeune, Michel & Sarda, Pascal, 1992. "Smooth estimators of distribution and density functions," Computational Statistics & Data Analysis, Elsevier, vol. 14(4), pages 457-471, November. [Downloadable!] (restricted)
  2. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
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  3. Song Chen, 2000. "Probability Density Function Estimation Using Gamma Kernels," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(3), pages 471-480, September. [Downloadable!] (restricted)
  4. Cai, Zongwu & Roussas, George G., 1998. "Kaplan-Meier Estimator under Association," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 318-348, November. [Downloadable!] (restricted)
  5. Cai, Zongwu, 1998. "Kernel Density and Hazard Rate Estimation for Censored Dependent Data," Journal of Multivariate Analysis, Elsevier, vol. 67(1), pages 23-34, October. [Downloadable!] (restricted)
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