Frontier estimation with kernel regression on high order moments

Stéphane Girard, Armelle Guillou and Gilles Stupfler

Journal of Multivariate Analysis, 2013, vol. 116, issue C, 172-189

Abstract: 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.

Keywords: Frontier estimation; Kernel estimation; Consistency; Asymptotic normality (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2012.12.001

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