Cookies?
Library Header Image
LSE Research Online LSE Library Services

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.

[img]
Preview
PDF
Download (339kB) | Preview

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.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2001 the authors
Divisions: Financial Markets Group
Economics
STICERD
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
URI: http://eprints.lse.ac.uk/id/eprint/2168

Actions (login required)

View Item View Item

Downloads

Downloads per month over past year

View more statistics