Robust nonparametric regression in time series

Young K. Truong

Journal of Multivariate Analysis, 1992, vol. 41, issue 2, 163-177

Abstract: Consider a stationary time series (Xt, Yt), t = 0, ±1, ... with Xt being d-valued and Yt real-valued. Let [psi](·) denote a monotone function and let [theta](·) denote the robust conditional location functional so that E[[psi](Y0 - [theta](X0))X0] = 0. Given a finite realization (X1, Y1), ..., (Xn, Yn), the problem of estimating [theta](·) is considered. Under appropriate regularity conditions, it is shown that a sequence of the robust conditional location functional estimators can be chosen to achieve the optimal rate of convergence n-1/(2 + d) both pointwise and in Lq (1

Keywords: kernel; estimator; local; M-estimator; nonparametric; regression; optimal; rates; of; convergence; stationary; time; series; mixing; processes (search for similar items in EconPapers)
Date: 1992
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0047-259X(92)90064-M
Full text for ScienceDirect subscribers only

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:eee:jmvana:v:41:y:1992:i:2:p:163-177

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().