In the article, we propose a new estimator of the hazard rate function in the framework of the multiplicative point process intensity model. The technique combines the reflection method and the method of transformation. The new method eliminates the boundary effect for suitably selected transformations reducing the bias at the boundary and keeping the asymptotics of the variance. The transformation depends on a pre-estimate of the logarithmic derivative of the hazard function at the boundary.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1058,
author = {Bo\.zena Janiszewska and Roman R\'o\.za\'nski},
title = {Estimation of the hazard rate function with a reduction of bias and variance at the boundary},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {25},
year = {2005},
pages = {5-37},
zbl = {1102.62106},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1058}
}
Bożena Janiszewska; Roman Różański. Estimation of the hazard rate function with a reduction of bias and variance at the boundary. Discussiones Mathematicae Probability and Statistics, Tome 25 (2005) pp. 5-37. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1058/
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