Asymptotic properties of nonparametric frontier estimators

Abstract

Aragon, Daouia, and Thomas-Agnan (2005, Econometric Theory 21, 358-389) introduced a new nonparametric frontier estimation. We prove the weak convergence of the empirical conditional quantile function. The distribution of the limit depends on the unknown conditional quantile density function. We provide a method to construct uniform confidence bands without estimating the conditional quantile density. © 2008 Cambridge University Press.