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Super-Efficient Prediction Based on High-Quality Marker Information

Jens Perch Nielsen ()
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Jens Perch Nielsen: Codan, Postal: Gammel Kongevej 60, 1799 Copenhagen, Denmark

No 00-5, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated n-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 n-consistently if a Markov type property holds for the high quality marker.

Keywords: Counting Process; Hazard; Kernel; Marker; Nonparametric Estimation; Prediction; Survival Analysis; Asset-Liability Management; Datamining; High Frequency Data (search for similar items in EconPapers)
Pages: 15 pages
Date: 2000-05-01
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