Hazard function estimation with nonnegative “wavelets”

Jean-Francois Angers and Brenda MacGibbon

Statistics & Probability Letters, 2013, vol. 83, issue 4, 969-978

Abstract: Wavelets have been successfully used for nonparametric function estimation, but for density and hazard functions, estimators must be nonnegative. In this paper, we develop a quasi-continuous nonnegative “wavelet” basis from Daubechies wavelets with good approximation properties. Using this basis, we develop a Bayesian nonparametric estimator of the hazard function for randomly right-censored data.

Keywords: Bayesian hierarchical model; Dirichlet priors; Density and distribution function estimation; Wavelets (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1016/j.spl.2012.12.027

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