how to take derivatives of a step function
"Eugene Salinas (R)" <r-eugenesalinas at comcast.net> writes:
Thanks. Here is some more info that may help: I am estimating a transformation model H(Y)=Xb+e and have obtained (up to a location parameter) an estimated of H(T), call it H_est(T). (Its a new estimator I am trying out that works with unspecified functional forms etc). Now if the model is a proportional hazard model then the integrated hazard is given by exp(H_est(T)) and hence the estimated hazard is d/dt(exp(H_est(T))). Thus, I need to figure out how to evaluate this last expression which is based on a step function.
Kernel smoothing. Look in e.g. Andersen,Borgan,Gill,Keiding: Statistical Models Based on Counting Processes (1992, Springer), p. 230++
O__ ---- Peter Dalgaard Blegdamsvej 3 c/ /'_ --- Dept. of Biostatistics 2200 Cph. N (*) \(*) -- University of Copenhagen Denmark Ph: (+45) 35327918 ~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk) FAX: (+45) 35327907