Nonparametric frontier estimation by linear programming

A new method for estimating the frontier of a set of points (or a support, in other words) is proposed. The estimates are defined as kernel functions covering all the points and whose associated support is of smallest surface. They are written as linear combinations of kernel functions applied to the points of the sample. The weights of the linear combination are then computed by solving a linear programming problem. In the general case, the solution of the optimization problem is sparse, that is, only a few coefficients are non zero. The corresponding points play the role of support vectors in the statistical learning theory. The $L_{1}$-norm for the error of estimation is shown to be almost surely converging to zero, and the rate of convergence is provided.

Presented by the member of Editorial Board: V. A. Lototskii