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Frontier Estimation and Extreme Values Theory

Abdelaati Daouia (), Jean-Pierre Florens and Leopold Simar ()

No 10-165, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: In this paper we investigate the problem of nonparametric monotone frontier estimation from an extreme-values theory perspective. This allows to revisit the asymptotic theory of the popular Free Disposal Hull estimator in a general setup, 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 through Monte-Carlo experiments. We also apply our approach to a real data set on the production activity of the French postal services.

Date: 2009-01
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Published in Bernoulli, vol. 16, n°4, 2010, p. 1039-1063.

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Working Paper: Frontier Estimation and Extreme Values Theory (2009) Downloads
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