Averaged and integrated estimations of varying-coefficient regression models with dependent observations (Q2296555)

Summary: In practical applications, lots of data such as sequentially collected economic data often exhibit some evident dependence. This paper studies the varying-coefficient regression models with different smoothing variables when the data form a stationary \(\alpha \)-mixing sequence. Both the averaged and integrated estimators of coefficient functions are proposed. The asymptotic normalities of the proposed averaged and integrated estimators are also established.