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Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

  • Linton, Oliver B.

    ()

    (Department of Economics)

  • Perch Nielsen, Jens

    ()

    (Codan)

  • Van de Geer, Sara

    ()

    (Mathematical Institute)

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.

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Paper provided by University of Aarhus, Aarhus School of Business, Department of Business Studies in its series Finance Working Papers with number 01-2.

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Length: 36 pages
Date of creation: 21 Feb 2001
Date of revision:
Handle: RePEc:hhb:aarfin:2001_002
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