Frontier estimation and extreme value theory
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Abstract: 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.
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Cites work
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- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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Cited in
(29)- Frontier estimation with local polynomials and high power-transformed data
- On polynomial estimators of frontiers and boundaries
- Robust estimation in stochastic frontier models
- Kernel estimation of extreme regression risk measures
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- Extreme value statistics and traveling fronts: Various applications
- The stochastic approximation method for recursive kernel estimation of the conditional extreme value index
- GMM quantile regression
- Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
- Fast and efficient computation of directional distance estimators
- Frontier estimation in the presence of measurement error with unknown variance
- On kernel smoothing for extremal quantile regression
- A \(\Gamma\)-moment approach to monotonic boundary estimation
- Frontier estimation in nonparametric location-scale models
- Nonparametric instrumental variables estimation for efficiency frontier
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- Asymptotic properties of nonparametric frontier estimators
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- Identification of mixture models using support variations
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- Regularization of nonparametric frontier estimators
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- Measuring firm performance using nonparametric quantile-type distances
- Statistical Approaches for Non‐parametric Frontier Models: A Guided Tour
- Quasi-Bayesian Inference for Production Frontiers
- Probabilistic characterization of directional distances and their robust versions
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