A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error’s structure
Consider the wavelet estimator of a nonparametric regression model with repeated measurements under martingale difference error’s structure for exhibiting dependence among the units, and to avoid as far as possible any assumptions among the observations within the same unit. We show the moment consistency, the strong consistency and the strong convergence rate of the wavelet estimator, and establish its asymptotic normality.
Volume (Year): 82 (2012)
Issue (Month): 11 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Liang, Han-Ying & Jing, Bing-Yi, 2005. "Asymptotic properties for estimates of nonparametric regression models based on negatively associated sequences," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 227-245, August.
- Escanciano, J. Carlos & Velasco, Carlos, 2006.
"Testing the martingale difference hypothesis using integrated regression functions,"
Computational Statistics & Data Analysis,
Elsevier, vol. 51(4), pages 2278-2294, December.
- Juan Carlos Escanciano & Carlos Velasco, 2006. "Testing the Martingale Difference Hypothesis Using Integrated Regression Functions," Faculty Working Papers 06/06, School of Economics and Business Administration, University of Navarra.
- Roussas, George G. & Tran, Lanh T. & Ioannides, D. A., 1992. "Fixed design regression for time series: Asymptotic normality," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 262-291, February.
- Zhou, Xian & You, Jinhong, 2004. "Wavelet estimation in varying-coefficient partially linear regression models," Statistics & Probability Letters, Elsevier, vol. 68(1), pages 91-104, June.
- Bercu, B., 2004. "On the convergence of moments in the almost sure central limit theorem for martingales with statistical applications," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 157-173, May.
- Fraiman, Ricardo & Iribarren, Gonzalo Pérez, 1991. "Nonparametric regression estimation in models with weak error's structure," Journal of Multivariate Analysis, Elsevier, vol. 37(2), pages 180-196, May.
- Roussas, George G., 1989. "Consistent regression estimation with fixed design points under dependence conditions," Statistics & Probability Letters, Elsevier, vol. 8(1), pages 41-50, May.
- Fan, Y., 1990. "Consistent nonparametric multiple regression for dependent heterogeneous processes: The fixed design case," Journal of Multivariate Analysis, Elsevier, vol. 33(1), pages 72-88, April.
- Lesigne, Emmanuel & Volný, Dalibor, 2001. "Large deviations for martingales," Stochastic Processes and their Applications, Elsevier, vol. 96(1), pages 143-159, November.
- Poghosyan, S. & Roelly, S., 1998. "Invariance principle for martingale-difference random fields," Statistics & Probability Letters, Elsevier, vol. 38(3), pages 235-245, June.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:11:p:1914-1922. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.