A nonparametric visual test of mixed hazard models
Spreeuw, Jaap (City University London. Faculty of Actuarial Science and Insurance, Cass Business School)
Perch Nielsen, Jens (City University London. Faculty of Actuarial Science and Insurance, Cass Business School)
Fiig Jarner, Søren (Danish Labour Market Supplementary Pension Fund)

Fecha: 2013
Resumen: We consider mixed hazard models and introduce a new visual inspection technique capable of detecting the credibility of our model assumptions. Our technique is based on a transformed data approach, where the density of the transformed data should be close to the uniform distribution when our model assumptions are correct. To estimate the density on the transformed axis we take advantage of a recently defined local linear density estimator based on filtered data. We apply the method to national mortality data and show that it is capable of detecting signs of heterogeneity even in small data sets with substantial variability in observed death rates.
Derechos: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Lengua: Anglès.
Documento: article ; recerca ; publishedVersion
Materia: Mortality data ; Frailty models ; Visual inspection
Publicado en: SORT : statistics and operations research transactions, Vol. 37, Núm. 2 (July-December 2013) , p. 153-174, ISSN 1696-2281

Adreça alternativa: https://www.raco.cat/index.php/SORT/article/view/271167

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