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Title:How to Improve the Performances of DEA/FDH Estimators in the Presence of Noise? PDF Logo
Authors:Simar, Léopold
Issue Date:2003
Series/Report no.:Discussion papers of interdisciplinary research project 373 2003,33
Abstract: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.
Subjects:Nonparametric frontier
Stochastic DEA/FDH
Robustness to outliers
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10050382
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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