Do-Validating Local Linear Hazards

Abstract

This paper brings together the theory and practice of local linear kernel hazard estimation. Bandwidth selection is fully analysed, including Do-validation that is shown to have good practical and theoretical properties. Insight is provided into the choice of the weighting function in the local linear minimization and it is pointed out that classical weighting sometimes lacks stability. A new semi-parametric hazard estimator transforming the survival data before smoothing is introduced and shown to have good practical properties.