Nonparametric inference in multiplicative intensity model by discrete time observation |
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Authors: | Yoichi Nishiyama |
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Institution: | (1) Department of Applied Mathematics, AGH University of Science and Technology, Al. Mickiewicza 30, 30-059 Cracow, Poland |
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Abstract: | This paper deals with nonparametric inference problems in the multiplicative intensity model for counting processes. We propose
a Nelson–Aalen type estimator based on discrete observation. The functional asymptotic normality of the estimator is proved.
The limit process is the same as that in the continuous observation case, thus the proposed estimator based on discrete observation
has the same properties as the Nelson–Aalen estimator based on continuous observation. For example, the asymptotic efficiency
of proposed estimator is valid based on less information than the continuous observation case. A Kaplan–Meier type estimator
is also discussed. Nonparametric goodness of fit test is considered, and an asymptotically distribution free test is proposed. |
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Keywords: | |
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