L₁-optimal linear programming estimator for periodic frontier functions with Hölder continuous derivative

DOI10.1134/S0005117914120066zbMATH Open1327.93372arXiv1409.6230MaRDI QIDQ891480FDOQ891480

Authors: Alexander Nazin, Stéphane Girard 

Publication date: 17 November 2015

Published in: Automation and Remote Control (Search for Journal in Brave)

Abstract: We propose a new estimator based on a linear programming method for smooth frontiers of sample points. The derivative of the frontier function is supposed to be Holder continuous.The estimator is defined as a linear combination of kernel functions being sufficiently regular, covering all the points and whose associated support is of smallest surface. The coefficients of the linear combination are computed by solving a linear programming problem. The L1- error between the estimated and the true frontier functionsis shown to be almost surely converging to zero, and the rate of convergence is proved to be optimal.

Full work available at URL: https://arxiv.org/abs/1409.6230

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Mathematics Subject Classification ID

Linear programming (90C05) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)

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Cited In (3)

• Some linear programming methods for frontier estimation
• \(L_1\)-optimal nonparametric frontier estimation via linear programming
• Kernel estimation of extreme regression risk measures

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