Uniform Bahadur representation for local polynomial estimates of M-regression and its application to the additive model

DOI10.1017/S0266466609990661MaRDI QIDQ4933588zbMATH OpenFDO

Authors Efang Kong, Oliver Linton, Yingcun Xia

Publication date 14 October 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.1663

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes $(Y_i,underline{X}_i)$. We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are fundamental for statistical inference and for applications that involve plugging in such estimators into other functionals where some control over higher order terms are required. We apply our results to the estimation of an additive M-regression model.

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Cited in

(54)

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