Optimal asymptotic MSE of kernel regression estimate for continuous time processes with missing at random response

Mohamed Chaouch and Naâmane Laïb

Statistics & Probability Letters, 2019, vol. 154, issue C, -

Abstract: Based on an incomplete observed sample (Xt,Yt,ζt)0≤t≤T, where ζt=1 if Yt is observed at time t and ζt=0 otherwise, the asymptotic mean square error of the regression estimator m̂T(x),x∈Rd, is showed to satisfy the following inequality: limT→∞T4∕(d+4)E(m̂T(x)−m(x))2Keywords: Asymptotic mean squared error; Continuous time processes; Regression function; Ergodic data; Missing at random; Sampling (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.06.008

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