Kong, Efang; Linton, Oliver; Xia, Yingcun - In: Econometric Theory 26 (2010) 05, pp. 1529-1564
We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(<italic>Y</italic>, <italic>null</italic>)}. We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are...