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
Full text not available from this repository.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 |
| Divisions: | Economics |
| Subjects: | H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation |
| Date Deposited: | 27 Apr 2007 |
| Last Modified: | 11 Dec 2024 22:34 |
| URI: | http://eprints.lse.ac.uk/id/eprint/1317 |
Actions (login required)
 |
View Item |
