Abstract:The present paper deals with a nonparametric M -estimation for right censored regression model with stationary ergodic data. Defined as an implicit function, a kernel type estimator of a family of robust regression is considered when the covariate take its values in R d (d ≥ 1) and the data are sampled from stationary ergodic process. The strong consistency (with rate) and the asymptotic distribution of the estimator are established under mild assumptions. Moreover, a usable confidence interval is provided whi… Show more
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