Estimation of non-sharp support boundaries
Journal of Multivariate Analysis
Modelling extremal events: for insurance and finance
Modelling extremal events: for insurance and finance
On polynomial estimators of frontiers and boundaries
Journal of Multivariate Analysis
Bandwidth choice for local polynomial estimation of smooth boundaries
Journal of Multivariate Analysis
Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
Handbook of Mathematical Functions, With Formulas, Graphs, and Mathematical Tables,
L1-Optimal Nonparametric Frontier Estimation via Linear Programming
Automation and Remote Control
Robust nonparametric estimators of monotone boundaries
Journal of Multivariate Analysis
Frontier estimation via kernel regression on high power-transformed data
Journal of Multivariate Analysis
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We present a new method for estimating the frontier of a multidimensional sample. The estimator is based on a kernel regression on high order moments. It is assumed that the order of the moments goes to infinity while the bandwidth of the kernel goes to zero. The consistency of the estimator is proved under mild conditions on these two parameters. The asymptotic normality is also established when the conditional distribution function decreases at a polynomial rate to zero in the neighborhood of the frontier. The good performance of the estimator is illustrated in some finite sample situations.