Asymptotic normality of a wavelet estimator for asymptotically negatively associated errors

Xufei Tang, Mengmei Xi, Yi Wu and Xuejun Wang

Statistics & Probability Letters, 2018, vol. 140, issue C, 191-201

Abstract: In this paper, we consider the nonparametric regression model Yni=g(ti)+εni,1≤i≤n and n≥1, where {ti} are non-random design points, and g(⋅) is an unknown Borel measurable function defined on [0, 1]. Under some general conditions, we study the asymptotic normality of the wavelet estimator of g(⋅), where the random errors {εni} are asymptotically negatively associated (ANA, for short) random variables. In addition, a simulation study is provided to evaluate the finite sample performance of the wavelet estimator.

Keywords: Asymptotically negatively associated random variables; Wavelet estimator; Asymptotic normality; Nonparametric regression model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2018.04.024

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