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Journal articles

Frontier estimation with kernel regression on high order moments

Stéphane Girard 1 Armelle Guillou 2 Gilles Stupfler 2
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, Grenoble INP - Institut polytechnique de Grenoble - Grenoble Institute of Technology
Abstract : We present a new method for estimating the frontier of a multidimensional sample. The estimator is based on a kernel regression on high order moments. It is assumed that the order of the moments goes to infinity while the bandwidth of the kernel goes to zero. The consistency of the estimator is proved under mild conditions on these two parameters. The asymptotic normality is also established when the conditional distribution function decreases at a polynomial rate to zero in the neighborhood of the frontier. The good performance of the estimator is illustrated on some finite sample situations.
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Submitted on : Monday, November 26, 2012 - 10:00:36 AM
Last modification on : Thursday, January 20, 2022 - 5:30:19 PM
Long-term archiving on: : Wednesday, February 27, 2013 - 3:42:27 AM


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Stéphane Girard, Armelle Guillou, Gilles Stupfler. Frontier estimation with kernel regression on high order moments. Journal of Multivariate Analysis, Elsevier, 2013, 116, pp.172-189. ⟨10.1016/j.jmva.2012.12.001⟩. ⟨hal-00499369v3⟩



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