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A gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fields

Abdelaati Daouia 1 Stephane Girard 2 Armelle Guillou 3
1 GREMAQ - Groupe de recherche en économie mathématique et quantitative
2 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
3 IRMA - Institut de Recherche Mathématique Avancée
Abstract : The estimation of optimal support boundaries under the monotonicity constraint is relatively unexplored and still in full development. This article examines a new extreme-value based model which provides a valid alternative for completely envelopment frontier models that often suffer from lack of precision, and for purely stochastic ones that are known to be sensitive to model misspecification. We provide different motivating applications including the estimation of the minimal cost in production activity and the assessment of the reliability of nuclear reactors.
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Conference papers
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https://hal.archives-ouvertes.fr/hal-00851125
Contributor : Stephane Girard <>
Submitted on : Monday, August 12, 2013 - 2:53:42 PM
Last modification on : Tuesday, November 24, 2020 - 4:38:03 PM

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  • HAL Id : hal-00851125, version 1

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Abdelaati Daouia, Stephane Girard, Armelle Guillou. A gamma-moment approach to monotonic boundaries estimation: with applications in econometric and nuclear fields. EVA 2013 - 8th International Conference on Extreme Value Analysis, Jul 2013, Shanghai, China. ⟨hal-00851125⟩

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