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Local linear M-estimator for random design model with dependent errors
Lin Zhengyan * #,Li Degui
Department of Mathematics, Zhejiang University
*Correspondence author
#Submitted by
Subject:
Funding: National Natural Science Foundation of China,Specialized（No.10571159,20060335032）
Opened online:15 May 2007
Accepted by: none
Citation: Lin Zhengyan,Li Degui.Local linear M-estimator for random design model with dependent errors[OL]. [15 May 2007] http://en.paper.edu.cn/en_releasepaper/content/12823
 
 
A robust version of local linear regression smoothers augmented with variable bandwidth is considered for random design regression models in which errors depend on predictors as well as on unobservable latent variables. The weak and strong consistency of the local linear M-estimators are proved under some regular conditions. Furthermore, asymptotic normality of the local linear M-estimators is established under short range and long range dependence.
Keywords:asymptotic normality, consistency, linear processes, local linear M-estimator, random design model
 
 
 

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