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Title: The EM algorithm for standard stochastic frontier models
Authors: Andrade, Bernardo Borba de
Souza, Geraldo da Silva e
Assunto:: Eficiência
Aceleração EM
Issue Date: 2019
Publisher: Sociedade Brasileira de Pesquisa Operacional
Citation: ANDRADE, Bernardo B. de; SOUZA, Geraldo S. The EM algorithm for standard stochastic frontier models. Pesquisa Operacional, v. 39, n. 3, p. 361-378, 2019. DOI: Disponível em: Acesso em: 23 jan. 2020.
Abstract: The Expectation-Maximization (EM) algorithm is developed for the stochastic frontier models most used in practice with cross-section data. The resulting algorithms can be easily programmed into a computer and are shown to be worthy alternatives to general-purpose optimization routines currently used. The algorithms for the half normal and the exponential models have closed-form expressions whereas those for the truncated normal and gamma models will require the numerical solution of a nonlinear equation. Implementations of the EM algorithm either as a stand-alone routine or in accelerated form and also combined with Newton-like methods are discussed. We provide illustrations, along with R tools, for cost and production frontiers.
Licença:: (CC BY) - © 2019 Brazilian Operations Research Society
Appears in Collections:EST - Artigos publicados em periódicos

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