Local polynomial fitting under association

Authors:
Elias Masry
Affiliations:
Department of Electrical and Computer Engineering, University of California, San Diego, La Jolla, CA
Venue:
Journal of Multivariate Analysis
Year:
2003

Citing 5
Cited 1

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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 p ≥ 1 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.