Nonparametric estimation of discrete hazard functions.

A smoothing procedure for discrete time failure data is proposed which allows for the inclusion of covariates. This purely nonparametric method is based on discrete or continuous kernel smoothing techniques that gives a compromise between the data and smoothness. The method may be used as an exploratory tool to uncover the underlying structure or as an alternative to parametric methods when prediction is the primary objective. Confidence intervals are considered and alternative techniques of cross validation based choices of smoothing parameters are investigated.