Abstract
We obtain a unform strong approximation for the distribution of a Nadaraya-Watson kernel estimator of a regression function. The approximation is obtained for general multivariate explanatory variables under an algebraic moment condition on the errors. A stronger rate of convergene result for the normal approximation is obtained at the expense of stronger moment conditions. We use the strong approximation results to derive a normal approximation to the distribution of the fitted values from the model.
Original language | English |
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Pages (from-to) | 87-105 |
Number of pages | 19 |
Journal | Journal of Multivariate Analysis |
Volume | 39 |
Issue number | 1 |
DOIs | |
Publication status | Published - Oct 1991 |