Bias in nearest-neighbor hazard estimation
In nonparametric curve estimation, the smoothing parameter is critical for performance. In order to estimate the hazard rate, we compare nearest neighbor selectors that minimize the quadratic, the Kullback-Leibler, and the uniform loss. These measures result in a rule of thumb, a cross-validation, and a plug-in selector. A Monte Carlo simulation within the three-parameter exponentiated Weibull distribution indicates that a counter-factual normal distribution, as an input to the selector, does provide a good rule of thumb. If bias is the main concern, minimizing the uniform loss yields the best results, but at the cost of very high variability. Cross-validation has a similar bias to the rule of thumb, but also with high variability.
|Date of creation:||2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (0231) 755-3125
Fax: (0231) 755-5284
Web page: http://www.statistik.tu-dortmund.de/sfb475.html
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kiefer, Nicholas M. & Larson, C. Erik, 2007.
"A simulation estimator for testing the time homogeneity of credit rating transitions,"
Journal of Empirical Finance,
Elsevier, vol. 14(5), pages 818-835, December.
- Kiefer, Nicholas M. & Larson, C. Erik, 2006. "A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition," Working Papers 06-10, Cornell University, Center for Analytic Economics.
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
- Ralescu, S. S., 1995. "The Law of the Iterated Logarithm for the Multivariate Nearest Neighbor Density Estimators," Journal of Multivariate Analysis, Elsevier, vol. 53(1), pages 159-179, April.
When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200815. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.