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Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Author

Listed:
  • Linton, Oliver B.

    () (Department of Economics)

  • Perch Nielsen, Jens

    () (Codan)

  • Van de Geer, Sara

    () (Mathematical Institute)

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

  • Linton, Oliver B. & Perch Nielsen, Jens & Van de Geer, Sara, 2001. "Estimating Multiplicative and Additive Hazard Functions by Kernel Methods," Finance Working Papers 01-2, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  • Handle: RePEc:hhb:aarfin:2001_002
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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;

    JEL classification:

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

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