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BSFM: a computer program for Bayesian stochastic frontier models. (English) Zbl 0885.62073
The model $$y_i=h(x_i,\beta)+v_i-z_i$$ is considered, where $$y_i\in R$$, $$x_i\in R^d$$, are known (observations), $$\beta\in R^k$$ is an unknown vector parameter, $$v_i$$ are normally $$(0,\sigma^2)$$ distributed, $$z_i$$ are gamma distributed with the shape parameter $$j$$ ($$j=1,2,3$$) and the unknown scale parameter $$\lambda$$, $$h$$ is a known function (frontier). A C++ program is described which performs Monte-Carlo iterative calculations of the a posterior distribution of $$\beta$$. Results of empirical data analysis are presented for a linear model of the frontier.

##### MSC:
 62J02 General nonlinear regression 62-04 Software, source code, etc. for problems pertaining to statistics 65C99 Probabilistic methods, stochastic differential equations 62F15 Bayesian inference
##### Keywords:
Bayesian estimation; Monte-Carlo methods
BSFM