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Minimax regret priors for efficiency estimation

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
<mark>Journal publication date</mark>16/09/2023
<mark>Journal</mark>European Journal of Operational Research
Issue number3
Volume309
Number of pages7
Pages (from-to)1279-1285
Publication StatusPublished
Early online date25/04/23
<mark>Original language</mark>English

Abstract

We propose a minimax regret empirical prior for inefficiencies in a stochastic frontier model and for its other parameters. The class of priors over which we consider minimax regret is given by DEA interval scores and, for the parameters, the class of priors induced by maximum likelihood estimates. The new techniques are shown to perform well in a Monte Carlo study as well as in real data for large U.S. data banks.