MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES

Journal of Time Series Analysis - Tập 17 Số 6 - Trang 571-599 - 1996
Elias Masry1
1Department of Electrical and Computer Engineering, University of California at San Diego.

Tóm tắt

Abstract. Local high‐order polynomial fitting is employed for the estimation of the multivariate regression function m(x1,…xd) =E{φ(Yd)φX1=x1,…,Xd=xd}, and of its partial derivatives, for stationary random processes {Yi, Xi}. 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 Rd, along with rates, are established for the regression function and its partial derivatives for strongly mixing processes.

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Tài liệu tham khảo

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Journal of Time Series Analysis

Tập 17 Số 6

571-599

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