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Estimating multiplicative and additive hazard functions by kernel methods

Linton, Oliver, Nielsen, J P and van de Geer, S (2003) Estimating multiplicative and additive hazard functions by kernel methods. Annals of Statistics, 31 (2). pp. 464-492. ISSN 0090-5364

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Abstract

We propose new procedures for estimating the component functions in both additive and multiplicativen onparametricm arker-dependenht azard models. We work with a full counting process framework that allows for left truncation and right censoring and time-varying covariates. Our procedures are based on kernel hazard estimation as developed by Nielsen and Linton and on the idea of marginal integration. We provide a central limit theorem for the marginal integration estimator. We then define estimators based on finite-step backfitting in both additive and multiplicative cases and prove that these estimators are asymptotically normal and have smaller variance than the marginal integration method.

Item Type: Article
Official URL: http://www.imstat.org/aos/
Additional Information: © 2003 Institute of Mathematical Statistics
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
Sets: Departments > Economics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Apr 2007
URL: http://eprints.lse.ac.uk/1317/

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