Resource title

How to Improve the Performances of DEA/FDH Estimators in the Presence of Noise?

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In frontier analysis, most of the nonparametric approaches (DEA, FDH) are based on envelopment ideas which suppose that with probability one, all the observed units belong to the attainable set. In these "deterministic" frontier models, statistical theory is now mostly available. In the presence of noise, this is no more true and envelopment estimators could behave dramatically since they are very sensitive to extreme observations that could result only from noise. DEA/FDH techniques would provide estimators with an error of the order of the standard deviation of the noise. In this paper we propose to adapt some recent results on detecting change points, to improve the performances of the classical DEA/FDH estimators in the presence of noise. We show by simulated examples that the procedure works well when the noise is of moderate size, in term of noise to signal ratio. It turns out that the procedure is also robust to outliers.

Resource author

LĂ©opold Simar

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Resource publish date

Resource language

eng

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text/html

Resource resource URL

http://hdl.handle.net/10419/22248

Resource license

Adapt according to the presented license agreement and reference the original author.