Cosimo Vitale

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In this paper we consider the inferential aspect of the nonparametric estimation of a conditional function g(x;φ) = E[φ(Xt)|Xt,m], where Xt,m represents the vector containing the m conditioning lagged values of the series. Here φ is an arbitrary measurable function. The local polynomial estimator of order p is used for the estimation of the function g, and(More)
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