Frontier estimation and extreme value theory
Daouia, Abdelaati ; Florens, Jean-Pierre ; Simar, Léopold
Bernoulli, Tome 16 (2010) no. 1, p. 1039-1063 / Harvested from Project Euclid
In this paper, we investigate the problem of nonparametric monotone frontier estimation from the perspective of extreme value theory. This enables us to revisit the asymptotic theory of the popular free disposal hull estimator in a more general setting, to derive new and asymptotically Gaussian estimators and to provide useful asymptotic confidence bands for the monotone boundary function. The finite-sample behavior of the suggested estimators is explored via Monte Carlo experiments. We also apply our approach to a real data set based on the production activity of the French postal services.
Publié le : 2010-11-15
Classification:  conditional quantile,  extreme values,  monotone boundary,  production frontier
@article{1290092895,
     author = {Daouia, Abdelaati and Florens, Jean-Pierre and Simar, L\'eopold},
     title = {Frontier estimation and extreme value theory},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 1039-1063},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1290092895}
}
Daouia, Abdelaati; Florens, Jean-Pierre; Simar, Léopold. Frontier estimation and extreme value theory. Bernoulli, Tome 16 (2010) no. 1, pp.  1039-1063. http://gdmltest.u-ga.fr/item/1290092895/