European Business Schools Librarian's Group
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 01-2: Estimating Multiplicative and Additive Hazard Functions by Kernel Methods.
Oliver B. Linton (), Jens Perch Nielsen () and Sara Van de Geer ()
Additional contact information
Oliver B. Linton: Department of Economics, Postal: London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom
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
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
36 pages, February 21, 2001
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