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Yao, Chi; Wang, Rui; Chen, Ling; Wang, Xuejun

Complete \(f\)-moment convergence of moving average processes and its application to nonparametric regression models. (English) Zbl 1493.62247

Probab. Math. Stat. 41, No. 2, 373-395 (2021).
Summary: In this paper, we establish a general result on complete \(f\)-moment convergence of the moving average process based on widely orthant dependent random variables, which generalizes some results in the literature. In addition, an application of complete consistency to nonparametric regression models is provided. Finally, we provide a numerical simulation to verify the validity of our theoretical results.

Cited in 3 Documents

MSC:

62G20 Asymptotic properties of nonparametric inference
62G08 Nonparametric regression and quantile regression

Keywords:

complete \(f\)-moment convergence; widely orthant dependent random variables; nonparametric regression models; complete consistency
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References:

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