Kim, Seonjin; Zhao, Zhibiao; Shao, Xiaofeng - In: Journal of Multivariate Analysis 133 (2015) C, pp. 277-290
This paper is concerned with the inference of nonparametric mean function in a time series context. The commonly used kernel smoothing estimate is asymptotically normal and the traditional inference procedure then consistently estimates the asymptotic variance function and relies upon normal...