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Asymptotic normality of nearest neighbor regression function estimates based on nonstationary dependent observations. (English) Zbl 0855.62034

Summary: The convergence of the regression function estimators and the central limit theorem for these estimators are proved for the case when the underlying sequence of random variables is dependent and nonstationary.

MSC:

62G20 Asymptotic properties of nonparametric inference
62M05 Markov processes: estimation; hidden Markov models
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
60F05 Central limit and other weak theorems
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References:

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