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2005-10-17Buch DOI: 10.18452/3618
How to Improve the Performances of DEA/FDHEstimators in the Presence of Noise?
dc.contributor.authorSimar, Léopold
dc.date.accessioned2017-06-15T21:34:42Z
dc.date.available2017-06-15T21:34:42Z
dc.date.created2005-10-17
dc.date.issued2005-10-17
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4270
dc.description.abstractIn 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectNonparametric frontiereng
dc.subjectStochastic DEA/FDHeng
dc.subjectRobustness to outlierseng
dc.subject.ddc330 Wirtschaft
dc.titleHow to Improve the Performances of DEA/FDHEstimators in the Presence of Noise?
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10050382
dc.identifier.doihttp://dx.doi.org/10.18452/3618
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages19
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2003
local.edoc.container-issue33
local.edoc.container-year2003
local.edoc.container-erstkatid2135319-0

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