LOCAL LINEAR FITTING UNDER NEAR EPOCH DEPENDENCE: UNIFORM CONSISTENCY WITH CONVERGENCE RATES
研究了近邻相依条件下局部线性估计量的一致一致性，给出了具有收敛速度的强和弱一致性的充分条件，对时间序列半参数建模有参考价值。
Local linear fitting is a popular nonparametric method in statistical and econometric modeling. Lu and Linton (2007, Econometric Theory 23, 37–70) established the pointwise asymptotic distribution for the local linear estimator of a nonparametric regression function under the condition of near epoch dependence. In this paper, we further investigate the uniform consistency of this estimator. The uniform strong and weak consistencies with convergence rates for the local linear fitting are established under mild conditions. Furthermore, general results regarding uniform convergence rates for nonparametric kernel-based estimators are provided. The results of this paper will be of wide potential interest in time series semiparametric modeling.