Super-Efficient Prediction Based on High-Quality Marker Information

Jens Perch Nielsen

ASTIN Bulletin, 2000, vol. 30, issue 2, 295-303

Abstract: Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated -consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated -consistently if a Markov type property holds for the high quality marker.

Date: 2000
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