Frontier estimation and extreme value theory
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Publication:627286
DOI10.3150/10-BEJ256zbMATH Open1207.62112arXiv1011.5722MaRDI QIDQ627286FDOQ627286
Authors: Abdelaati Daouia, Léopold Simar, Jean-Pierre Florens 
Publication date: 28 February 2011
Published in: Bernoulli (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1011.5722
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Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)
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Cited In (28)
- Frontier estimation with kernel regression on high order moments
- Regularization of nonparametric frontier estimators
- ROBUSTIFIED EXPECTED MAXIMUM PRODUCTION FRONTIERS
- Asymptotic properties of nonparametric frontier estimators
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- The stochastic approximation method for recursive kernel estimation of the conditional extreme value index
- Large deviation properties for empirical quantile-type production functions
- Probabilistic characterization of directional distances and their robust versions
- A moment estimator for the conditional extreme-value index
- Quasi-Bayesian Inference for Production Frontiers
- On Estimation of Monotone and Concave Frontier Functions
- Robust estimation in stochastic frontier models
- Measuring firm performance using nonparametric quantile-type distances
- Frontier estimation with local polynomials and high power-transformed data
- On kernel smoothing for extremal quantile regression
- Robustness and inference in nonparametric partial frontier modeling
- GMM quantile regression
- A \(\Gamma\)-moment approach to monotonic boundary estimation
- Identification of mixture models using support variations
- Statistical Approaches for Non‐parametric Frontier Models: A Guided Tour
- Fast and efficient computation of directional distance estimators
- On projection-type estimators of multivariate isotonic functions
- Estimation of extreme quantiles from heavy-tailed distributions in a location-dispersion regression model
- Frontier estimation in nonparametric location-scale models
- Kernel estimation of extreme regression risk measures
- Frontier estimation in the presence of measurement error with unknown variance
- Extreme value statistics and traveling fronts: Various applications
- Nonparametric instrumental variables estimation for efficiency frontier
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