Frontier estimation via kernel regression on high power-transformed data

Stéphane Girard and Pierre Jacob

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 403-420

Abstract: We present a new method for estimating the frontier of a multidimensional sample. The estimator is based on a kernel regression on the power-transformed data. We assume that the exponent of the transformation goes to infinity while the bandwidth of the kernel goes to zero. We give conditions on these two parameters to obtain complete convergence and asymptotic normality. The good performance of the estimator is illustrated on some finite sample situations.

Keywords: Kernel; estimator; Power-transform; Frontier; estimation (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (8)

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