Smoothing Counting Process Intensities by Means of Kernel Functions
The Annals of Statistics · 1983 · Volume 11 · Issue 2
Abstract
The kernel function method developed during the last twenty-five years to estimate a probability density function essentially is a way of smoothing the empirical distribution function. This paper shows how one can generalize this method to estimate counting process intensities using kernel functions to smooth the nonparametric Nelson estimator for the cumulative intensity. The properties of the estimator for the intensity itself are investigated, and uniform consistency and asymptotic normality are proved. We also give an illustrative numerical example.
Keywords
60G55, 62G05, 62P05, counting processes, intensities, kernel functions, smoothing
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