Dynamic Likelihood Hazard Rate Estimation

The best known methods for estimating hazard rate functions in survival analysis models are either purely parametric or purely nonparametric. The parametric ones are sometimes too biased while the nonparametric ones are sometimes too vari­ able. In the present paper a certain semiparametric approach to hazard rate estimation, proposed in Hjort (1991), is developed further, aiming to combine parametric and non­ parametric features. It uses a dynamic local likelihood approach to fit the locally most suitable member in a given parametric class of hazard rates, and amounts to a version of non parametric parameter smoothing within the parametric class. Thus the parametric hazard rate estimate at time 8 inserts a parameter estimate that also depends on 8. We study bias and variance properties of the resulting estimator and methods for choosing the local smoothing parameter. It is shown that dynamic likelihood estimation often leads to better performance than the purely nonparametric methods, while also having capacity for not losing much to the parametric methods in cases where the model being smoothed is adequate.