Title: MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
Abstract: Abstract. Local high‐order polynomial fitting is employed for the estimation of the multivariate regression function m ( x 1 ,… x d ) = E {φ( Y d )φ X 1 = x 1 ,…, X d = x d }, and of its partial derivatives, for stationary random processes { Y i , X i }. The function φ may be selected to yield estimates of the conditional mean, conditional moments and conditional distributions. Uniform strong consistency over compact subsets of R d , along with rates, are established for the regression function and its partial derivatives for strongly mixing processes.
Publication Year: 1996
Publication Date: 1996-11-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 452
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