期刊
ECONOMETRIC THEORY
卷 26, 期 5, 页码 1529-1564出版社
CAMBRIDGE UNIV PRESS
DOI: 10.1017/S0266466609990661
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资金
- National Natural Science Foundation of China [10471061]
- RMI, National University of Singapore
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y-i, (X) under bar (i))}. We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are fundamental for statistical inference and for applications that involve plugging such estimators into other functionals where some control over higher order terms is required. We apply our results to the estimation of an additive M-regression model.
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