This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

The ordinary spectrum is restricted in its applications, since it is based on the second-order moments (auto- and cross-covariances). Alternative approaches to spectrum analysis have been investigated based on other measures of dependence. One such approach was developed for univariate time...