Adaptive Kernel Estimation of The Hazard Rate Function

Raid B Salha


In this paper, we generalized the constant bandwidth kernel es-timator of the hazard rate function from Watson and Leadbetter (1964), which depends on a single bandwidth to the adaptive ker-nel estimator, which depends on different bandwidths. We derive the asymptotic normality of the adaptive kernel estimator. Also we illustrate the use of the adaptive kernel hazard rate estima-tor in both simulation and real life data and compared it to the constant bandwidth kernel estimator. In our study, we show that the adaptive estimator has no boundary effects as the constant bandwidth kernel estimator, and has smaller bias. Keywords: Hazard rate function, adaptive kernel estimation, constant bandwidth kernel estimation, density estimation.


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