ISSN:
1572-9052
Keywords:
Recursive nonparametric estimation
;
regression models
;
local polynomial fitting
;
strongly mixing processes
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract The recursive estimation of the regression function m(x) = E(Y/X = x) and its derivatives is studied under dependence conditions. The examined method of nonparametric estimation is a recursive version of the estimator based on locally weighted polynomial fitting, that in recent articles has proved to be an attractive technique and has advantages over other popular estimation techniques. For strongly mixing processes, expressions for the bias and variance of these estimators are given and asymptotic normality is established. Finally, a simulation study illustrates the proposed estimation method.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1023/A:1003764914460
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