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Convergence Uniforme Presque Sure D'une Classe De Prédicteurs A Noyau Pour Un Processus Fortement Mélangeant

Abstract : We prove that a general nonparametric estimator of the autoregression function for a strictly stationary, strongly mixing process is uniformly convergent in some compact set. The principal application of our results concerns a predictor defined by the kernel method and constracted as a functional M-estimate.
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Afif Hayek, Jean-Pierre Lecoutre. Convergence Uniforme Presque Sure D'une Classe De Prédicteurs A Noyau Pour Un Processus Fortement Mélangeant. Annales de l'ISUP, Publications de l’Institut de Statistique de l’Université de Paris, 1990, XXXV (1), pp.23-41. ⟨hal-03666456⟩

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