Local polynomial estimation of a conditional mean function with dependent truncated data

摘要

By applying local polynomial regression, we propose an estimator of a conditional mean function and its derivatives under a left truncation model. The target function includes the regression function, the conditional moment as well as the conditional distribution function as special cases. It is assumed that the observations form a stationary α-mixing sequence. Asymptotic normality of the estimator is established. The finite sample behavior of the estimator is investigated via simulations, too.