Nearest neighbor hazard estimation with left-truncated duration data

Rafael Weißbach (), Wladislaw Poniatowski and Walter Krämer

AStA Advances in Statistical Analysis, 2013, vol. 97, issue 1, 33-47

Abstract: Duration data often suffer from both left-truncation and right-censoring. We show how both deficiencies can be overcome at the same time when estimating the hazard rate nonparametrically by kernel smoothing with the nearest-neighbor bandwidth. Smoothing Turnbull’s estimator of the cumulative hazard rate, we derive strong uniform consistency of the estimate from Hoeffding’s inequality, applied to a generalized empirical distribution function. We also apply our estimator to rating transitions of corporate loans in Germany. Copyright Springer-Verlag 2013

Keywords: Kernel smoothing; Hazard rate; Left-truncation; Right-censoring (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:alstar:v:97:y:2013:i:1:p:33-47

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DOI: 10.1007/s10182-012-0194-5

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