Frontier estimation with local polynomials and high power-transformed data

DOI10.1016/J.JMVA.2009.01.011MaRDI QIDQ1026358zbMATH OpenOpenAlexFDO

Authors J. Blot

Publication date 24 June 2009

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.0089

zbMATH Keywords

power transformfrontier estimationlocal polynomials estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

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 to obtain almost complete convergence. The asymptotic conditional bias and variance of the estimator are provided and its good performance is illustrated on some finite sample situations.

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Cites work

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Cited in

(2)

• Frontier estimation with kernel regression on high order moments
• Frontier estimation via kernel regression on high power-transformed data

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