| Abstract: | In this paper, the optimal convergence rates of estimators based on kernel approach for nonlinear AR model are investigated in the sense of Stone[17,18]. By combining the or mixingproperty of the stationary solution with the characteristics of the model itself, the restrictiveconditions in the literature which are not easy to be satisfied by the nonlinear AR model areremoved, and the mild conditions are obtained to guarantee the optimal rates of the estimatorof autoregression function. In addition, the strongly consistent estimator of the variance ofwhite noise is also constructed. |
