This paper presents a procedure for choosing the bandwidth when estimating, in the Aalen multiplicative model, the intensity of a counting process by a kernel method. The cross-validation procedure we propose is based, as for density estimation, on the estimation of the integrated square error by use of a leave-one-out principle. In order to state the validity of the proposed method, the precise form of the asymptotic expansion of the mean integrated square error is given and rates of convergence of some error criteria are investigated. These technical results are used for proving n-1-consistency of the estimator of the integrated square error. The particular case of censored survival data is considered and the performance of our procedure is checked via simulations.
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Scandinavian Journal of Statistics
© 1993 Board of the Foundation of the Scandinavian Journal of Statistics
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