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A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error’s structure

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  • Zhou, Xing-cai
  • Lin, Jin-guan

Abstract

Consider the wavelet estimator of a nonparametric regression model with repeated measurements under martingale difference error’s structure for exhibiting dependence among the units, and to avoid as far as possible any assumptions among the observations within the same unit. We show the moment consistency, the strong consistency and the strong convergence rate of the wavelet estimator, and establish its asymptotic normality.

Suggested Citation

  • Zhou, Xing-cai & Lin, Jin-guan, 2012. "A wavelet estimator in a nonparametric regression model with repeated measurements under martingale difference error’s structure," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1914-1922.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:11:p:1914-1922
    DOI: 10.1016/j.spl.2012.06.028
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    References listed on IDEAS

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