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
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.hha.dk/fin/finance/Research/D01_2.pdf (application/pdf)

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)
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:2001_002

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 ).