Local polynomial fitting under association |
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| Authors: | Elias Masry |
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| Institution: | Department of Electrical and Computer Engineering, University of California, San Diego, La Jolla, CA 92093-0407, USA |
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| Abstract: | We consider the estimation of multivariate regression functions r(x1,…,xd) and their partial derivatives up to a total order p1 using high-order local polynomial fitting. The processes {Yi,Xi} are assumed to be (jointly) associated. Joint asymptotic normality is established for the estimates of the regression function r and all its partial derivatives up to the total order p. Expressions for the bias and variance/covariance matrix (of the asymptotic distribution) are given. |
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| Keywords: | Multivariate regression estimation Local polynomial fitting Associated processes Central limit theorems |
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