Smoothing dependent observations

We consider the problem of nonparametric regression when the error process has a continuous covariance structure. We show that smoothers are generally not consistent. If measurements from independent trajectories are available, smoothing the averaged trajectories can be detrimental asymptotically.

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Year of publication:	1994
Authors:	Fraiman, R. ; Meloche, J.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 21.1994, 3, p. 203-214
Publisher:	Elsevier
Keywords:	Nonparametric regression Consistency Independent increments Asymptotic efficiency

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223375