Uniform strong consistency of a frontier estimator using kernel regression on high order moments

Stéphane Girard; Armelle Guillou; Gilles Stupfler

ESAIM: Probability and Statistics (2014)

  • Volume: 18, page 642-666
  • ISSN: 1292-8100

Abstract

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We consider the high order moments estimator of the frontier of a random pair, introduced by [S. Girard, A. Guillou and G. Stupfler, J. Multivariate Anal. 116 (2013) 172–189]. In the present paper, we show that this estimator is strongly uniformly consistent on compact sets and its rate of convergence is given when the conditional cumulative distribution function belongs to the Hall class of distribution functions.

How to cite

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Girard, Stéphane, Guillou, Armelle, and Stupfler, Gilles. "Uniform strong consistency of a frontier estimator using kernel regression on high order moments." ESAIM: Probability and Statistics 18 (2014): 642-666. <http://eudml.org/doc/273649>.

@article{Girard2014,
abstract = {We consider the high order moments estimator of the frontier of a random pair, introduced by [S. Girard, A. Guillou and G. Stupfler, J. Multivariate Anal. 116 (2013) 172–189]. In the present paper, we show that this estimator is strongly uniformly consistent on compact sets and its rate of convergence is given when the conditional cumulative distribution function belongs to the Hall class of distribution functions.},
author = {Girard, Stéphane, Guillou, Armelle, Stupfler, Gilles},
journal = {ESAIM: Probability and Statistics},
keywords = {frontier estimation; kernel estimation; strong uniform consistency; Hall class},
language = {eng},
pages = {642-666},
publisher = {EDP-Sciences},
title = {Uniform strong consistency of a frontier estimator using kernel regression on high order moments},
url = {http://eudml.org/doc/273649},
volume = {18},
year = {2014},
}

TY - JOUR
AU - Girard, Stéphane
AU - Guillou, Armelle
AU - Stupfler, Gilles
TI - Uniform strong consistency of a frontier estimator using kernel regression on high order moments
JO - ESAIM: Probability and Statistics
PY - 2014
PB - EDP-Sciences
VL - 18
SP - 642
EP - 666
AB - We consider the high order moments estimator of the frontier of a random pair, introduced by [S. Girard, A. Guillou and G. Stupfler, J. Multivariate Anal. 116 (2013) 172–189]. In the present paper, we show that this estimator is strongly uniformly consistent on compact sets and its rate of convergence is given when the conditional cumulative distribution function belongs to the Hall class of distribution functions.
LA - eng
KW - frontier estimation; kernel estimation; strong uniform consistency; Hall class
UR - http://eudml.org/doc/273649
ER -

References

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