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Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Author

Listed:
  • Oliver Linton
  • Jens Perch Nielsen
  • Sara van de Geer

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.

Suggested Citation

  • Oliver Linton & Jens Perch Nielsen & Sara van de Geer, 2001. "Estimating Multiplicative and Additive Hazard Functions by Kernel Methods," STICERD - Econometrics Paper Series 411, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    • Handle: RePEc:cep:stiecm:411
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    File URL: https://sticerd.lse.ac.uk/dps/em/em411.pdf
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    Cited by:

    1. Toshio Honda, 2005. "Estimation in additive cox models by marginal integration," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 403-423, September.

    More about this item

    Keywords

    Additive model; censoring; kernel; proportional hazards; survival analysis;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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