A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error’s structure

Xing-cai Zhou and Jin-guan Lin

Statistics & Probability Letters, 2012, vol. 82, issue 11, 1914-1922

Abstract: Consider the wavelet estimator of a nonparametric regression model with repeated measurements under martingale difference error’s structure for exhibiting dependence among the units, and to avoid as far as possible any assumptions among the observations within the same unit. We show the moment consistency, the strong consistency and the strong convergence rate of the wavelet estimator, and establish its asymptotic normality.

Keywords: Nonparametric regression model; Wavelet; Repeated measurements; Martingale difference (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.06.028

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