Estimating Multiplicative and Additive Hazard Functions by Kernel Methods

39 Pages Posted: 21 Jul 2008

See all articles by Oliver B. Linton

Oliver B. Linton

University of Cambridge

Jens Perch Nielsen

City University London - Cass Business School

Sara van de Geer

affiliation not provided to SSRN

Date Written: February 2001

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.

JEL Classification: C13, C14

Suggested Citation

Linton, Oliver B. and Nielsen, Jens Perch and van de Geer, Sara, Estimating Multiplicative and Additive Hazard Functions by Kernel Methods (February 2001). LSE STICERD Research Paper No. EM411, Available at SSRN: https://ssrn.com/abstract=1162596

Oliver B. Linton (Contact Author)

University of Cambridge ( email )

Faculty of Economics
Cambridge, CB3 9DD
United Kingdom

Jens Perch Nielsen

City University London - Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Sara Van de Geer

affiliation not provided to SSRN

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