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Asymptotic properties of the wavelet estimator in non parametric regression model with martingale difference errors

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  • Xuejun Wang
  • Xin Deng
  • Yi Wu

Abstract

This work mainly investigates the asymptotic properties for the wavelet estimator in a non parametric regression model with martingale difference random errors. The moment consistency, strong consistency, complete consistency, the rate of strong consistency and the asymptotic normality for the wavelet estimator are established under some mild conditions, which were not obtained before. Some numerical analysis is carried out to support the theoretical results.

Suggested Citation

  • Xuejun Wang & Xin Deng & Yi Wu, 2024. "Asymptotic properties of the wavelet estimator in non parametric regression model with martingale difference errors," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(9), pages 3312-3336, May.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:9:p:3312-3336
    DOI: 10.1080/03610926.2022.2152288
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