UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Bruce E. Hansen ()

Econometric Theory, 2008, vol. 24, issue 03, pages 726-748

Abstract: This paper presents a set of rate of uniform consistency results for kernel estimators of density functions and regressions functions. We generalize the existing literature by allowing for stationary strong mixing multivariate data with infinite support, kernels with unbounded support, and general bandwidth sequences. These results are useful for semiparametric estimation based on a first-stage nonparametric estimator.

Date: 2008
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