On the local behaviour of the Yang regression estimate
The author considers the regression problem with \((x_ i, y_ i)\), \(i=1,\dots, n\), i.i.d. He regards the Yang estimate [see \textit{S.-S. Yang}, J. Am. Stat. Assoc. 76, 658-662 (1981; Zbl 0475.62031)] \(m_ n(x)\) for the regression function. In \textit{W. Stute}, Ann. Stat. 12, 917- 926 (1984; Zbl 0539.62026), the asymptotic normality of \(m_ n(x_ 0)\) is shown. In this paper the asymptotic distribution of \(m_ n(x)\) is derived, for all \(x\) in a local (random) neighborhood of \(x_ 0\). The aim of the author is to change the \(x_ i\)'s points with \(n\) to obtain asymptotical dependence, and then, to obtain a richer information about the local behaviour of the estimate.
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