FUNCTION ESTIM DENSITY.. (2ND ED)

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Focusing on nonparametric kernel estimators, this book explores their application in statistical analysis for both independent and dependent sequences of random variables. It emphasizes the importance of bandwidth selection to minimize estimation error and demonstrates weak convergence of the estimators. Additionally, it presents new mathematical results related to density and regression functions, as well as more complex models, including point process intensity, auto-regressive diffusion parameters, and single-index regression models.