Convergence rate of estimates of regression functions under martingale difference sequences

MaRDI QIDQ5431200zbMATH OpenFDO

Authors Guoliang Li, Luqin Liu

Publication date 7 December 2007

zbMATH Keywords

martingale differencenonparametric regressionoptimal strong convergence rate.weighted kernel estimate

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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• Limit behaviors of the estimator of nonparametric regression model based on martingale difference errors
• Uniform convergence rates for a class of martingales with application in non-linear cointegrating regression
• Asymptotic properties for estimates of nonparametric regression model with martingale difference errors
• Exponential-type inequalities for martingale difference sequences. Application to nonparametric regression estimation
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• Estimation of regression functions in nonparametric regression models based on exponential martingale differences

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