MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES

Elias Masry

Journal of Time Series Analysis, 1996, vol. 17, issue 6, 571-599

Abstract: Abstract. Local high‐order polynomial fitting is employed for the estimation of the multivariate regression function m(x1,…xd) =E{φ(Yd)φX1=x1,…,Xd=xd}, and of its partial derivatives, for stationary random processes {Yi, Xi}. The function φ may be selected to yield estimates of the conditional mean, conditional moments and conditional distributions. Uniform strong consistency over compact subsets of Rd, along with rates, are established for the regression function and its partial derivatives for strongly mixing processes.

Date: 1996
References: Add references at CitEc
Citations: View citations in EconPapers (195)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1996.tb00294.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:17:y:1996:i:6:p:571-599

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().