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Frontier estimation with local polynomials and high power-transformed data

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Author Info
Girard, Séphane
Jacob, Pierre
Abstract

We present a new method for estimating the frontier of a sample. The estimator is based on a local polynomial regression on the power-transformed data. We assume that the exponent of the transformation goes to infinity while the bandwidth goes to zero. We give conditions on these two parameters for obtaining almost complete convergence. The asymptotic conditional bias and variance of the estimator are provided and its good performance is illustrated for some finite sample situations.

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Publisher Info
Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 100 (2009)
Issue (Month): 8 (September)
Pages: 1691-1705
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Handle: RePEc:eee:jmvana:v:100:y:2009:i:8:p:1691-1705

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Related research
Keywords: Local polynomials estimator Power transform Frontier estimation;

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This page was last updated on 2009-12-3.

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