Nonparametric estimation of conditional probability densities and expectations of stationary processes: strong consistency and rates

Elias Masry

Stochastic Processes and their Applications, 1989, vol. 32, issue 1, 109-127

Abstract: Let {Xj} [infinity]j=-[infinity] be a real-valued stationary process. Recursive kernel estimators of the joint probability density functions, of conditional probability densities, and of the conditional expectations of functionals of Xj, given past behavior, are considered. Their strong consistency, along with rates, are established for processes {Xj} satisfying various mixing conditions.

Date: 1989
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