Nelson–Aalen estimator

Nelson–Aalen estimator

The Nelson–Aalen estimator is a non-parametric estimator of the cumulative hazard rate function in case of censored data or incomplete data. It is used in survival theory, reliability engineering and life insurance to estimate the cumulative number of expected events. An event can be a failure of a non-repairable component or a death of a human being. The estimator is given by

H(t)=\sum_{t_i\leq t}\frac{d_i}{n_i},

with di the number of events at ti and ni are the total individuals at risk at ti.

The curvature of the Nelson–Aalen estimator gives an idea of the hazard rate shape. A concave shape is an indicator for infant mortality while a convex shape indicates wear out mortality.

It can be used for example when testing the homogenitity of Poisson processes.[1]

See also

References

  1. ^ Jan Kysely, Jan Picek, Romana Beranova (2010) "Estimating extremes in climate change simulations using the peaks-over-threshold method with a non-stationary threshold", Global and Planetary Change, 72 (1-2), 55-68 doi:10.1016/j.gloplacha.2010.03.006.

External links


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