Local Exponential Frontier Estimation
نویسندگان
چکیده
منابع مشابه
Frontier estimation with local polynomials and high power-transformed data
We present a new method for estimating the frontier of a sample. The estimator is based on a local polynomial regression on the powertransformed 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 to obtain almost complete convergence. The asymptotic conditional bias and variance of the estimator a...
متن کاملMaximum Likelihood Estimation of Econometric Frontier Functions*
The estimation of production functions has been one of the more popular areas of applied econometrics. Recent work in duality theory which has linked production and cost functions has made this topic even more attractive. Typically, least squares (or some variant, such as two stage or generalized least squares) is used to estimate the model of interest in accordance with the assumption of a nor...
متن کاملInterval Estimation in Exponential Families
In this paper we consider interval estimation of the mean in the natural Exponential family with a quadratic variance function; the family comprises the binomial, Poisson, negative binomial, normal, gamma, and a sixth distribution. For the three discrete cases, the Wald confidence interval and three alternative intervals are examined by means of two term Edgeworth expansions of the coverage pro...
متن کاملSparse Estimation by Exponential Weighting
Consider a regression model with fixed design and Gaussian noise where the regression function can potentially be well approximated by a function that admits a sparse representation in a given dictionary. This paper resorts to exponential weights to exploit this underlying sparsity by implementing the principle of sparsity pattern aggregation. This model selection take on sparse estimation allo...
متن کاملEstimation of portfolio efficient frontier by different measures of risk via DEA
In this paper, linear Data Envelopment Analysis models are used to estimate Markowitz efficient frontier. Conventional DEA models assume non-negative values for inputs and outputs. however, variance is the only variable in these models that takes non-negative values. Therefore, negative data models which the risk of the assets had been used as an input and expected return was the output are uti...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Brazilian Review of Econometrics
سال: 2014
ISSN: 1980-2447
DOI: 10.12660/bre.v33n22013.26508