Let be a real-valued continuous-time jointly stationary processes and let tj be a renewal point process on [0,00], with finite mean rate independent of (Y,X). Given the observations and a measurable function, we estimate the multivariate probability density and the regression function of given X(0) = xo, X(T) = XI, …, X(rm) = xm for arbitrary lags m. We present consistency and asymptotic normality results for appropriate estimates of f and r.
Regression Function Asymptotic Normality Asymptotic Normality Result Local Polynomial Fitting Multivariate Probability Density
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