Frontier estimation and extreme value theory

Details Frontier estimation and extreme value theory Frontier estimation and extreme value theory

2010-11-26

arxiv.org/abs/1011.5722v1

Bernoulli 2010, Vol. 16, No. 4, 1039-1063

Mathematics

Statistics Theory

Published in at http://dx.doi.org/10.3150/10-BEJ256 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statisti

Scientific paper

10.3150/10-BEJ256

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.

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