Nearest neighbor regression with heavy-tailed errors

DOI10.1214/AOS/1176349144zbMATH Open0779.62036OpenAlexW2034496425MaRDI QIDQ688376FDOQ688376

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

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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)

Cited In (7)

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

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