Regression-type inference in nonparametric autoregression
本文推导了非参数自回归中局部多项式估计量与非参数回归中对应估计量的强逼近，从而可将回归模型的推断工具应用于自回归模型，并简化了自助法的使用。
We derive a strong approximation of a local polynomial estimator LPE in nonparametric autoregression by an (LPE) in a corresponding nonparametric regression model. This generally suggests the application of regression-typical tools for statistical inference in nonparametric autoregressive models. It provides an important simplification for the boot-strap method to be used: It is enough to mimic the structure of a nonparametric regression model rather than to imitate the more complicated process structure in the autoregressive case. As an example we consider a simple wild bootstrap, which is used for the construction of simultaneous confidence bands and nonparametric supremum-type tests.