Nearest neighbor regression with heavy-tailed errors

DOI10.1214/AOS/1176349144MaRDI QIDQ688376zbMATHOpenAlexFDO

Authors Hari Mukerjee

Publication date 19 January 1994

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176349144

zbMATH Keywords

nonparametric regressionconfidence intervalsconvergence ratesconditional variancenearest neighbor estimatorstrong uniform consistencydomain of attraction of a stable lawheavy- tailed conditional error distributionshigher conditional momentsinfinite variance case

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20) Strong limit theorems (60F15)

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Cited in

(7)

• Convergence rates of least squares regression estimators with heavy-tailed errors
• A note on strong convergence rates in nonparametric regression
• Asymptotic behavior of encompassing test for independent processes: case of linear and nearest neighbor regressions
• Time-series near-neighbor regression
• Nearest neighbor estimates of regression
• Polya tree-based nearest neighborhood regression
• Nearest-neighbour estimation of semiparametric regression models

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