Local polynomial fitting under association

Elias Masry

Journal of Multivariate Analysis, 2003, vol. 86, issue 2, 330-359

Abstract: We consider the estimation of multivariate regression functions r(x1,...,xd) and their partial derivatives up to a total order p[greater-or-equal, slanted]1 using high-order local polynomial fitting. The processes {Yi,Xi} are assumed to be (jointly) associated. Joint asymptotic normality is established for the estimates of the regression function r and all its partial derivatives up to the total order p. Expressions for the bias and variance/covariance matrix (of the asymptotic distribution) are given.

Keywords: Multivariate; regression; estimation; Local; polynomial; fitting; Associated; processes; Central; limit; theorems (search for similar items in EconPapers)
Date: 2003
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