Article ID Journal Published Year Pages File Type
1144866 Journal of the Korean Statistical Society 2011 11 Pages PDF
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
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