Asymptotics for the nonparametric estimation of the mean function of a random process. (English) Zbl 1148.62027
Summary: We study the nonparametric estimation of the mean function of a random process indexed by a compact metric space. We elaborate on the asymptotic variance and prove asymptotic normality for a general class of linear estimators. An application to simultaneous confidence intervals is proposed and investigated by simulations.
MSC:
| 62G20 | Asymptotic properties of nonparametric inference |
| 62G05 | Nonparametric estimation |
| 62M09 | Non-Markovian processes: estimation |
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