Analysis

We propose new procedures for estimating the component functions in both additive and multiplicative nonparametric marker dependent hazard models. We work with a full counting process framework that allows for left truncation and right censoring and time varying covariates. Our procedures are based on kernel hazard estimation as developed by Nielsen and Linton (1995) and on the idea of marginal integration. We provide a central limit theorem for the marginal integration estimator. We then de…ne estimators based on …nite step back…tting in both the additive and multiplicative case and prove that these estimators are asymptotically normal and have smaller variance than the marginal integration method