Nearest neighbor hazard estimation with left-truncated duration data |
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Authors: | Rafael Weißbach Wladislaw Poniatowski Walter Krämer |
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Affiliation: | 1. Lehrstuhl Statistik, Institut für Volkswirtschaftslehre, Fakult?t für Wirtschafts- und Sozialwissenschaften, Universit?t Rostock, 18051, Rostock, Germany 2. Deutsche Telekom, Bonn, Germany 3. Fakult?t Statistik, Technische Universit?t Dortmund, Dortmund, Germany
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Abstract: | 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’s estimator of the cumulative hazard rate, we derive strong uniform consistency of the estimate from Hoeffding’s inequality, applied to a generalized empirical distribution function. We also apply our estimator to rating transitions of corporate loans in Germany. |
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