Smoothing dependent observations

R. Fraiman and J. Meloche

Statistics & Probability Letters, 1994, vol. 21, issue 3, 203-214

Abstract: We consider the problem of nonparametric regression when the error process has a continuous covariance structure. We show that smoothers are generally not consistent. If measurements from independent trajectories are available, smoothing the averaged trajectories can be detrimental asymptotically.

Keywords: Nonparametric; regression; Consistency; Independent; increments; Asymptotic; efficiency (search for similar items in EconPapers)
Date: 1994
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Citations: View citations in EconPapers (4)

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