Super-Efficient Prediction Based on High-Quality Marker Information

Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated n-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated n-consistently if a Markov type property holds for the high quality marker.

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Year of publication:	2000-05-01
Authors:	Perch Nielsen, Jens
Institutions:	Ehrvervøkonomisk Institut, Institut for Økonomi
Subject:	Counting Process \| Hazard \| Kernel \| Marker \| Nonparametric Estimation \| Prediction \| Survival Analysis \| Asset-Liability Management \| Datamining \| High Frequency Data

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Extent:	application/pdf
Series:	Finance Working Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Working Papers Number 00-5 15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005802161