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Asymptotic properties of local polynomial regression with missing data and correlated errors. (English) Zbl 1294.62087
Summary: The main objective of this work is the nonparametric estimation of the regression function with correlated errors when observations are missing in the response variable. Two nonparametric estimators of the regression function are proposed. The asymptotic properties of these estimators are studied; expresions for the bias and the variance are obtained and the joint asymptotic normality is established. A simulation study is also included.

MSC:
62G08 Nonparametric regression and quantile regression
62G20 Asymptotic properties of nonparametric inference
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