Frontier estimation and extreme value theory

Bernoulli

Volumn 16, Issue 4, 2010, Pages 1039-1063

  Daouia, Abdelaati ^a   Florens, Jean Pierre ^a   Simar, Léopold ^b  

^a UNIVERSITÉ DE TOULOUSE   (France)

^b UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Conditional quantile; Extreme values; Monotone boundary; Production frontier

Indexed keywords

EID: 79251570869     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/10-BEJ256     Document Type: Article

References (18)

1. Aragon, Y., Daouia, A. and Thomas-Agnan, C. (2005). Nonparametric frontier estimation: A conditional quantile-based approach. Econometric Theory 21 358-389.
2. Cazals, C., Florens, J.P. and Simar, L. (2002). Nonparametric frontier estimation: A robust approach. J. Econometrics 106 1-25.
3. Daouia, A. and Ruiz-Gazen, A. (2006). Robust nonparametric frontier estimators: Influence function and qualitative robustness. Statist. Sinica 16 1233-1253.
4. Daraio, C. and Simar, L. (2007). Advanced Robust and Nonparametric Methods in Efficiency Analysis: Methodology and Applications. New York: Springer.
5. Dekkers, A.L.M. and de Haan, L. (1989). On the estimation of extreme-value index and large quantiles estimation. Ann. Statist. 17 1795-1832.
6. Dekkers, A.L.M., Einmahl, J.H.J. and de Haan, L. (1989). A moment estimator for the index of an extreme-value distribution. Ann. Statist. 17 1833-1855.
7. Deprins, D., Simar, L. and Tulkens, H. (1984). Measuring labor inefficiency in post offices. In The Performance of Public Enterprises: Concepts and Measurements (M. Marchand, P. Pestieau and H. Tulkens, eds.) 243-267. Amsterdam: North-Holland.
8. Gijbels, I. and Peng, L. (2000). Estimation of a support curve via order statistics. Extremes 3 251-277.
9. Hall, P., Nussbaum, M. and Stern, S.E. (1997). On the estimation of a support curve of indeterminate sharpness. J. Multivariate Anal. 62 204-232.
10. Hall, P., Park, B.U. and Stern, S.E. (1998). On polynomial estimators of frontiers and boundaries. J. Multivariate Anal. 66 71-98.
11. Hardle, W., Park, B.U. and Tsybakov, A.B. (1995). Estimation of non-sharp support boundaries. J. Multivariate Anal. 43 205-218.
12. Hwang, J.H., Park, B.U. and Ryu,W. (2002). Limit theorems for boundary function estimators. Statist. Probab. Lett. 59 353-360.
13. Korostelev, A., Simar, L. and Tsybakov, A.B. (1995). Efficient estimation of monotone boundaries. Ann. Statist. 23 476-489.
14. Park, B., Simar, L. and Weiner, C. (2000). The FDH estimator for productivity efficiency scores: Asymptotic properties. Econometric Theory 16 855-877.
15. Pickands, J. (1975). Statistical inference using extreme order statistics. Ann. Statist. 3 119-131.
16. Resnick, S.I. (1987). Extreme Values, Regular Variation, and Point Processes. New York: Springer.
17. Resnick, S.I. (2007). Heavy-Tail Phenomena: Probabilistic and Statistical Modeling. New York: Springer.
18. van der Vaart, A.W. (1998). Asymptotic Statistics. Cambridge Series in Statistical and Probabilistic Mathematics 3. Cambridge: Cambridge Univ. Press.