Working paper
Frontier Estimation and Extreme Values Theory
Abdelaati Daouia, Jean-Pierre Florens, and Léopold Simar
IDEI Working Paper
n. 611, 2009
Reference
Abdelaati Daouia, Jean-Pierre Florens, and Léopold Simar, “Frontier Estimation and Extreme Values Theory”, IDEI Working Paper, n. 611, 2009.
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.