Frontier estimation via kernel regression on high power-transformed data

Authors:
Stéphane Girard;Pierre Jacob
Affiliations:
INRIA Rhône-Alpes, Team Mistis, Inovalle, 655, av. de l'Europe, Montbonnot, 38334 Saint-Ismier cedex, France;Université Montpellier 2, EPS-I3M, Place Eugène Bataillon, 34095 Montpellier cedex 5, France
Venue:
Journal of Multivariate Analysis
Year:
2008

Citing 6
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Abstract

We present a new method for estimating the frontier of a multidimensional sample. The estimator is based on a kernel regression on the power-transformed data. We assume that the exponent of the transformation goes to infinity while the bandwidth of the kernel goes to zero. We give conditions on these two parameters to obtain complete convergence and asymptotic normality. The good performance of the estimator is illustrated on some finite sample situations.