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Department of Business Studies, Aarhus School of Business, University of Aarhus Finance Working Papers, Department of Business Studies, Aarhus School of Business, University of Aarhus

No 01-2:
Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.

Oliver B. Linton (), Jens Perch Nielsen () and Sara Van de Geer ()

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; (follow links to similar papers)

36 pages, February 21, 2001

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