A new kernel estimator of hazard ratio and its asymptotic mean squared error

Abstract: The hazard function is a ratio of a density and survival function, and it is a basic tool of the survival analysis. In this paper we propose a kernel estimator of the hazard ratio function, which are based on a modification of \'{C}wik and Mielniczuk's method. We study nonparametric estimators of the hazard function and compare those estimators by means of asymptotic mean squared error ($AMSE$). We obtain asymptotic bias and variance of the new estimator, and compare them with a naive estimator. The asymptotic variance of the new estimator is always smaller than the naive estimator's, so we also discuss an improvement of $AMSE$ using Terrell and Scott's bias reduction method. The new modified estimator ensures the non-negativity, and we demonstrate the numerical improvement.