Nelson–Aalen estimator

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The Nelson–Aalen estimator is a non-parametric estimator of the cumulative hazard rate function in case of censored data or incomplete data.[1] It is used in survival theory, reliability engineering and life insurance to estimate the cumulative number of expected events. An "event" can be the failure of a non-repairable component, the death of a human being, or any occurrence for which the experimental unit remains in the "failed" state (e.g., death) from the point at which it changed on. The estimator is given by

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

with d_i the number of events at t_i and n_i the total individuals at risk at t_i.[2]

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.[3]

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References[edit]

  1. ^ "Kaplan–Meier and Nelson–Aalen Estimators". 
  2. ^ "Kaplan–Meier Survival Estimates". 
  3. ^ Kysely, Jan; Picek, Jan; Beranova, Romana (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. 

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