Boundary and bias correction in kernel hazard estimation

A new class of local linear hazard estimators based on weighted least square kernel estimation is considered. The class includes the kernel hazard estimator of Ramlau-Hansen (1983), which has the same boundary correction property as the local linear regression estimator (see Fan & Gijbels, 1996). It is shown that all the local linear estimators in the class have the same pointwise asymptotic properties. We derive the multiplicative bias correction of the local linear estimator. In addition we propose a new bias correction technique based on bootstrap estimation of additive bias. This latter method has excellent theoretical properties. Based on an extensive simulation study where we compare the performance of competing estimators, we also recommend the use of the additive bias correction in applied work.