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Multivariate Local Polynomial Regression For Time Series:Uniform Strong Consistency And Rates

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  • Elias Masry
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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  • Elias Masry, 1996. "Multivariate Local Polynomial Regression For Time Series:Uniform Strong Consistency And Rates," Journal of Time Series Analysis, Wiley Blackwell, vol. 17(6), pages 571-599, November.
    • Handle: RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599
    DOI: 10.1111/j.1467-9892.1996.tb00294.x
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