Local polynomial estimation of a conditional mean function with dependent truncated data

• Autores: Han-Ying Liang, Jacobo de Uña Álvarez , María del Carmen Iglesias Pérez
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 20, Nº. 3, 2011, págs. 653-677
• Idioma: inglés
• DOI: 10.1007/s11749-011-0234-6
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• Resumen

  • By applying local polynomial regression, we propose an estimator of a conditional mean function and its derivatives under a left truncation model. The target function includes the regression function, the conditional moment as well as the conditional distribution function as special cases. It is assumed that the observations form a stationary α-mixing sequence. Asymptotic normality of the estimator is established. The finite sample behavior of the estimator is investigated via simulations, too.