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UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

Published online by Cambridge University Press:  26 February 2008

Bruce E. Hansen
Bruce E. Hansen*
Affiliation:
University of Wisconsin
*
Address correspondence to Bruce E. Hansen, Department of Economics, University of Wisconsin, 1180 Observatory Drive, Madison, WI 53706-1393, USA; e-mail: bhansen@ssc.wisc.edu.
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Abstract

This paper presents a set of rate of uniform consistency results for kernel estimators of density functions and regressions functions. We generalize the existing literature by allowing for stationary strong mixing multivariate data with infinite support, kernels with unbounded support, and general bandwidth sequences. These results are useful for semiparametric estimation based on a first-stage nonparametric estimator.

Type
Research Article
Information
Econometric Theory , Volume 24 , Issue 3 , June 2008 , pp. 726 - 748
Copyright
Copyright © Cambridge University Press 2008

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