My problem is that I need to do an interpolation. Eventually, I will work on the hazard rate, but I do not know if it is better to interpolate the CDF or the hazard rate. Let me explain better.
I've a CDF evaluated at certain points. I numerically differentiate it over the points (diff
function in R) to get the pdf. I'm interested in computing the inverse hazard rate ($\frac{1-F(x)}{f(x)}$) and to have it over a broader set of values $y$.
Is it better to interpolate the CDF $F(x)$ over the broader set of values $y$, (that is, interpolate $F(x)$ over $y$ and then compute the pdf and inverse hazard rate over $y$), or to interpolate the hazard rate directly in the end? Also, which is the best interpolation procedure?
Thank you.