Scandinavian Working Papers in Business Administration
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 00-5: Super-Efficient Prediction Based on High-Quality Marker Information
Jens Perch Nielsen ()
Additional contact information
Jens Perch Nielsen: Codan, Postal: Gammel Kongevej 60, 1799 Copenhagen, Denmark
Abstract: Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated n-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated n-consistently if a Markov type property holds for the high quality marker.
Keywords: Counting Process; Hazard; Kernel; Marker; Nonparametric Estimation; Prediction; Survival Analysis; Asset-Liability Management; Datamining; High Frequency Data
15 pages, May 1, 2000
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