Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146220 | Journal of Multivariate Analysis | 2013 | 18 Pages |
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 in some finite sample situations.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Stéphane Girard, Armelle Guillou, Gilles Stupfler,