Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
6870757 | Computational Statistics & Data Analysis | 2013 | 15 Pages |
Abstract
Practical estimation procedures for the local linear estimation of an unrestricted failure rate when more information is available than just time are developed. This extra information could be a covariate and this covariate could be a time series. Time dependent covariates are sometimes called markers, and failure rates are sometimes called hazards, intensities or mortalities. It is shown through simulations and a practical example that the fully local linear estimation procedure exhibits an excellent practical performance. Two different bandwidth selection procedures are developed. One is an adaptation of classical cross-validation, and the other one is indirect cross-validation. The simulation study concludes that classical cross-validation works well on continuous data while indirect cross-validation performs only marginally better. However, cross-validation breaks down in the practical data application to old-age mortality. Indirect cross-validation is thus shown to be superior when selecting a fully feasible estimation method for marker dependent hazard estimation.
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Physical Sciences and Engineering
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Computational Theory and Mathematics
Authors
MarÃa Luz Gámiz Pérez, Lena Janys, MarÃa Dolores MartÃnez Miranda, Jens Perch Nielsen,