Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

Oliver Linton, Jens Perch Nielsen () and Sara Van de Geer ()
Additional contact information
Jens Perch Nielsen: Codan, Postal: Gammel Kongevej 60, 1790 Copenhagen V, Denmark
Sara Van de Geer: Mathematical Institute, Postal: University of Leiden, Niels Bohrweg 1, 2300 RA Leiden, The Netherlands

No 01-2, Finance Working Papers from University of Aarhus, Aarhus School of Business, Department of Business Studies

Abstract: We propose new procedures for estimating the univariate quantities of interest in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows for left truncation and right censoring. Our procedures are based on kernels and on the idea of marginal integration. we provide a central limit theorem for our estimator.

Keywords: Additive Model; Censoring; Kernel; Proportional Hazards; Survival Analysis (search for similar items in EconPapers)
Pages: 36 pages
Date: 2001-02-21
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Estimating Multiplicative and Additive Hazard Functions by Kernel Methods (2001)
Working Paper: Estimating multiplicative and additive hazard functions by kernel methods (2001)
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