Frontier Estimation and Extreme Values Theory
In this paper we investigate the problem of nonparametric monotone frontier estimation from an extreme-values theory perspective. This allows to revisit the asymptotic theory of the popular Free Disposal Hull estimator in a general setup, 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 through Monte-Carlo experiments. We also apply our approach to a real data set on the production activity of the French postal services.
|Date of creation:||Jan 2009|
|Date of revision:|
|Publication status:||Published in Bernoulli, vol. 16, n°4, Bernoulli Society for Mathematical Statistics and Probability, 2010, p. 1039-1063.|
|Contact details of provider:|| Phone: (+33) 5 61 12 86 23|
Web page: http://www.tse-fr.eu/
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- Hall, Peter & Nussbaum, Michael & Stern, Steven E., 1997. "On the Estimation of a Support Curve of Indeterminate Sharpness," Journal of Multivariate Analysis, Elsevier, vol. 62(2), pages 204-232, August.
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