Variable Bandwidth Kernel Hazard Estimators
Variable kernel hazard estimators are considered in the case, where the bandwidth is allowed to depend on the exposure. Simulations show, that when the exposure varies substantially, then this can improve the performance of the basic kernel smoother con-siderable. A two-stage approach for kernel function smoothing of hazard functions is also suggested. The pilot estimator is a fixed bandwidth kernel estimator. The second and final estimator is a variable bandwidth kernel estimator, where the bandwidthis determined by Abramson's square root law, see Abramson (1982). This approach reduces the theoretical bias compared to the fixed andwidth kernel estimator, but simulations show that the exposure dependent kernel hazard estimators have better small sample performance.
|Date of creation:||01 Jun 2000|
|Date of revision:|
|Contact details of provider:|| Postal: The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark|
Fax: + 45 86 15 19 43
Web page: http://www.asb.dk/about/departments/bs.aspx
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:hhb:aarfin:2000_006. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt)
If references are entirely missing, you can add them using this form.