Normal approximation in regression
We obtain a uniform strong approximation for the distribution of a Nadaraya-Watson kernel estimator of a regression function. The approximation is obtained for general multivariate explanatory variables under an algebraic moment condition on the errors. A stronger rate of convergence result for the normal approximation is obtained at the expense of stronger moment conditions. We use the strong approximation results to derive a normal approximation to the distribution of the fitted values from the model.
general multivariate explanatory variables
algebraic moment condition on the errors
scientific article; zbMATH DE number 31990
scientific article