Weighted Nadaraya-Watson Regression Estimation
نویسنده
چکیده
In this article we study nonparametric estimation of regression function by using the weighted Nadaraya-Watson approach. We establish the asymptotic normality and weak consistency of the resulting estimator for-mixing time series at both boundary and interior points, and we show that the estimator preserves the bias, variance, and more importantly, automatic good boundary behavior properties of local linear estimator. Also, the asymptotic minimax eeciency is discussed. Finally, comparisons between weighted Nadaraya-Watson approach and local linear tting are given.
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تاریخ انتشار 2001