This paper addresses the problem of estimating the monotone boundary of a nonconvex set in a full nonparametric and multivariate setup. This is particularly useful in the context of productivity analysis where the efficient frontier is the locus of optimal production scenarios. Then efficiency...

This paper develops a fully nonparametric method for estimating value-at-risk based on the adaptive volatility estimation and the nonparametric quantile estimation. The proposed method is simple, fast and easy to implement. We evaluated its numerical performance on the basis of Monte Carlo study...