[R] how to take derivatives of a step function

Peter Dalgaard p.dalgaard at biostat.ku.dk
Fri Jan 23 16:27:59 CET 2004

"Eugene Salinas (R)" <r-eugenesalinas at comcast.net> writes:

> Thanks. Here is some more info that may help:
> I am estimating a transformation model H(Y)=Xb+e and have obtained (up
> to a location parameter) an estimated of H(T), call it H_est(T). (Its
> a new estimator I am trying out that works with unspecified functional
> forms etc). Now if the model is a proportional hazard model then the
> integrated hazard is given by exp(H_est(T)) and hence the estimated
> hazard is d/dt(exp(H_est(T))).
> Thus, I need to figure out how to evaluate this last expression which
> is based on a step function.

Kernel smoothing. Look in e.g. Andersen,Borgan,Gill,Keiding:
Statistical Models Based on Counting Processes (1992, Springer), p.

   O__  ---- Peter Dalgaard             Blegdamsvej 3  
  c/ /'_ --- Dept. of Biostatistics     2200 Cph. N   
 (*) \(*) -- University of Copenhagen   Denmark      Ph: (+45) 35327918
~~~~~~~~~~ - (p.dalgaard at biostat.ku.dk)             FAX: (+45) 35327907

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