Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1144866 | Journal of the Korean Statistical Society | 2011 | 11 Pages |
Abstract
In this paper, we derive the central limit theorem (CLT) for quadratic error where the Nadaraya-Watson regression estimator is employed under dependence. Our results may be applicable for various nonparametric regression models including nonlinear auto-regressive model. In addition, we discuss the usefulness of our results for obtaining test statistics specifying a regression model under dependence. The proof uses CLT for variable degenerate U-statistics due to Kim and Luo (in press).
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhi-Ming Luo, Gyu Moon Song, Tae Yoon Kim,