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Hazard function estimation with nonnegative “wavelets”

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  • Angers, Jean-Francois
  • MacGibbon, Brenda

Abstract

Wavelets have been successfully used for nonparametric function estimation, but for density and hazard functions, estimators must be nonnegative. In this paper, we develop a quasi-continuous nonnegative “wavelet” basis from Daubechies wavelets with good approximation properties. Using this basis, we develop a Bayesian nonparametric estimator of the hazard function for randomly right-censored data.

Suggested Citation

  • Angers, Jean-Francois & MacGibbon, Brenda, 2013. "Hazard function estimation with nonnegative “wavelets”," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 969-978.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:4:p:969-978
    DOI: 10.1016/j.spl.2012.12.027
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    References listed on IDEAS

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    1. A. Antoniadis & G. Grégoire & G. Nason, 1999. "Density and hazard rate estimation for right‐censored data by using wavelet methods," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 63-84.
    2. Anestis Antoniadis & Irene Gijbels & Brenda Macgibbon, 2000. "Non‐parametric Estimation for the Location of a Change‐point in an Otherwise Smooth Hazard Function under Random Censoring," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(3), pages 501-519, September.
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