Uniform consistency rate of kNN regression estimation for functional time series data

Nengxiang Ling, Shuyu Meng and Philippe Vieu

Journal of Nonparametric Statistics, 2019, vol. 31, issue 2, 451-468

Abstract: In this paper, we investigate the k-nearest neighbours (kNN) estimation of nonparametric regression model for strong mixing functional time series data. More precisely, we establish the uniform almost complete convergence rate of the kNN estimator under some mild conditions. Furthermore, a simulation study and an empirical application to the real data analysis of sea surface temperature (SST) are carried out to illustrate the finite sample performances and the usefulness of the kNN approach.

Date: 2019
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DOI: 10.1080/10485252.2019.1583338

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