Frontier estimation and extreme values theory
Frontier estimation and extreme values theory
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前沿估计和极值理论
作者：
A. Daouia;J. Florens;L. Simar
在本文中，我们从极值理论的角度研究非参数单调前沿估计问题。这允许在一般设置中重新审视流行的 Free Disposal Hull 估计器的渐近理论，导出新的渐近高斯估计器，并为单调边界函数提供有用的渐近置信带。通过蒙特卡罗实验探索了建议估计器的有限样本行为。我们还将我们的方法应用于法国邮政服务生产活动的真实数据集。
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.