Bruce E. Hansen
"Uniform Convergence Rates for Kernel Estimation with Dependent Data"
Econometric Theory (2008) 24, 726-748.
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, and kernels with unbounded support, and general bandwidth
sequences. These results are useful for semiparametric estimation based on a first stage
The copyright to this article is held by the Cambridge University Press, http://www.econometricsociety.org.
It may be downloaded, printed and reproduced only for personal or classroom use.
Absolutely no downloading or copying may be done for, or on behalf of, any for-profit commercial firm or other commercial purpose
without the explicit permission of Cambridge University Press.
Download PDF file
Some of the above material is based upon work supported by the National Science Foundation under Grants No. SES-9022176, SES-9120576, SBR-9412339, and SBR-9807111.
Any opinions, findings, and conclusions, or recommendations expressed in this material are those of the author(s), and do not necessarily reflect the views of the NSF.