Kong, Efang; Linton, Oliver; Xia, Yingcun - Suntory and Toyota International Centres for Economics … - 2009
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,?X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results...