Frontier estimation with local polynomials and high power-transformed data

Authors:
Séphane Girard;Pierre Jacob
Affiliations:
team Mistis, INRIA Rhône-Alpes & LJK, Inovalléée, 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:
2009

Citing 5
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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 for obtaining almost complete convergence. The asymptotic conditional bias and variance of the estimator are provided and its good performance is illustrated for some finite sample situations.