European Business Schools Librarian's Group
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 00-7: Boundary and Bias Correction in Kernel Hazard Estimation
Jens Perch Nielsen () and Carsten Tanggaard ()
Additional contact information
Jens Perch Nielsen: Codan, Postal: Gammel Kongevej 60, 1799 Copenhagen, Denmark
Carsten Tanggaard: Department of Finance, Aarhus School of Business, Postal: The Aarhus School of Business, Fuglesangs Allé 4, 8210 Aarhus V, Denmark,
Abstract: A new class of local linear azard estimators based on weig ted least square kernel estimation is considered. The class includes the kernel Hazard estimator of Ramlau-Hansen (1983), which as tHe same boundary correction property as the local linear regression estimator (see Fan and Gijbels, 1996). It is shown that all the local linear estimators in the class have the same pointwise asymp-totic properties. We derive the multiplicative bias correction of the local linear estimator. In addition we propose a new bias correction technique based on bootstrap estimation of additive bias. This latter method as nice theoretical properties. Based on an extensive simulation study where we compare the per-formance of competing estimators we also recommend the use of the additive bias correction in applied work.
Keywords: Counting Process Theory; Kernel Estimation; Hazard Functions; Local Linear Estimation; Boundary Kernels
34 pages, September 18, 2000
Full text files
D00_7_NEW_VERSION.PDF
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