Local M-estimator for nonparametric time series

Zongwu Cai () and Elias Ould-Saïd

Statistics & Probability Letters, 2003, vol. 65, issue 4, 433-449

Abstract: In this article, we investigate a robust version of local linear regression smoothers for stationary time series sequence by using robust-type local polynomial techniques. Under some regularity conditions, we establish the weak and strong consistency as well as the asymptotic normality of the proposed estimators.

Keywords: [alpha]-Mixing; Asymptotic; properties; Local; smoothers; Outlier; Robustness; Variable; bandwidth (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (15)

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