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Estimating multiplicative and additive hazard functions by kernel methods

Linton, Oliver, Perch Nielsen, Jens and van de Geer, Sara (2001) Estimating multiplicative and additive hazard functions by kernel methods. Econometrics; EM/2001/411 (EM/01/411). Suntory and Toyota International Centres for Economics and Related Disciplines, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL:
Additional Information: © 2001 the authors
Divisions: Financial Markets Group
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C14 - Semiparametric and Nonparametric Methods
Date Deposited: 27 Apr 2007
Last Modified: 15 Sep 2023 22:49

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