Nearest neighbor hazard estimation with left-truncated duration data

作者：Weis**ach Rafael^*; Poniatowski Wladislaw; Kraemer Walter

来源：ASTA-Advances in Statistical Analysis, 2013, 97(1): 33-47.

DOI：10.1007/s10182-012-0194-5

• Kernel smoothing
• Hazard rate
• Left-truncation
• Right-censoring

Duration data often suffer from both left-truncation and right-censoring. We show how both deficiencies can be overcome at the same time when estimating the hazard rate nonparametrically by kernel smoothing with the nearest-neighbor bandwidth. Smoothing Turnbull%26apos;s estimator of the cumulative hazard rate, we derive strong uniform consistency of the estimate from Hoeffding%26apos;s inequality, applied to a generalized empirical distribution function. We also apply our estimator to rating transitions of corporate loans in Germany.

• 出版日期2013-1