An expectation conditional maximization algorithm for the skew-normal based stochastic frontier model

Xiaonan Zhu, Zheng Wei (), Tonghui Wang, S. T. Boris Choy and Ziwei Ma
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Xiaonan Zhu: University of North Alabama
Zheng Wei: Texas A &M University - Corpus Christi
Tonghui Wang: New Mexico State University
S. T. Boris Choy: The University of Sydney
Ziwei Ma: University of Tennessee at Chattanooga

Computational Statistics, 2024, vol. 39, issue 3, No 19, 1539-1558

Abstract: Abstract In this paper, a feasible expectation-conditional-maximization (ECM) algorithm is developed for finding the maximum likelihood estimates of parameters of the skew-normal based stochastic frontier model. The closed-form formulas for updating parameters in CM-steps are derived. The proposed methodology is illustrated with simulations and a real data example, where we find the new ECM algorithm outperforms the numerical approach adopted in the previous study.

Keywords: ECM algorithm; Maximum likelihood; Stochastic frontier model; Skew-normal distribution; Truncated normal distribution (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-023-01356-2

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