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Journal Articles Journal of Multivariate Analysis Year : 2009

Frontier estimation with local polynomials and high power-transformed data

Abstract

We present a new method for estimating the frontier of a sample. The estimator is based on a local polynomial regression on the power-transformed data. We assume that the exponent of the transformation goes to infinity while the bandwidth goes to zero. We give conditions on these two parameters for obtaining almost complete convergence. The asymptotic conditional bias and variance of the estimator are provided and its good performance is illustrated for some finite sample situations.

Dates and versions

hal-00384731 , version 1 (15-05-2009)

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Stéphane Girard, Pierre Jacob. Frontier estimation with local polynomials and high power-transformed data. Journal of Multivariate Analysis, 2009, 100 (8), pp.1691-1705. ⟨10.1016/j.jmva.2009.01.011⟩. ⟨hal-00384731⟩
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