IDEAS home Printed from https://ideas.repec.org/p/hhb/aarfin/2000_016.html
   My bibliography  Save this paper

Global Polynomial Kernel Hazard Estimation

Author

Listed:
  • Perch Nielsen, Jens

    (Codan)

  • Tanggaard, Carsten

    (Department of Finance, Aarhus School of Business)

Abstract

This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theoretical point of view as it symptotically reduces bias with unchanged variance. A simulation study investigates the finite-sample properties of GPA. The method is tested on local constant and local linear estimators both with and without multiplicative bias correction and with the additive bias correction proposed in Nielsen and Tanggaard (2000). From the simulation experiment we conclude that the global estimator improves the goodness-of-fit. An especially encouraging result is that the bias-correction works well for small samples, where traditional bias reduction methods have a tendency to fail.

Suggested Citation

  • Perch Nielsen, Jens & Tanggaard, Carsten, 2000. "Global Polynomial Kernel Hazard Estimation," Finance Working Papers 00-16, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    • Handle: RePEc:hhb:aarfin:2000_016
    as

    Download full text from publisher

    File URL: http://www.hha.dk/fin/finance/Research/D00_16.PDF
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhb:aarfin:2000_016. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Helle Vinbaek Stenholt (email available below). General contact details of provider: https://edirc.repec.org/data/ifhhadk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.