We consider a class of nonparametric time series regression models in which the regressor takes values in a sequence space and the data are stationary and weakly dependent. We propose an infinite dimensional Nadaraya-Watson type estimator with a bandwidth sequence that shrinks the effects of...

We study a longitudinal data model with nonparametric regression functions that may vary across the observed subjects. In a wide range of applications, it is natural to assume that not every subject has a completely different regression function. We may rather suppose that the observed subjects...