Super-Efficient Prediction Based on High-Quality Marker Information

Jens Perch Nielsen ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.hha.dk/fin/finance/RESEARCH/D00_5.PDF (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.hha.dk:80 (nodename nor servname provided, or not known)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hhb:aarfin:2000_005

Access Statistics for this paper

More papers in Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies The Aarhus School of Business, Fuglesangs Allé 4, DK-8210 Aarhus V, Denmark. Contact information at EDIRC.
Bibliographic data for series maintained by Helle Vinbaek Stenholt ( this e-mail address is bad, please contact ).