Curve estimation for mn-decomposable time series including bilinear processes

Abstract

The speed of a.s. uniform convergence of nonparametric curve estimators for mn-decomposable processes is studied. Such processes include, e.g., linear and bilinear processes. A simple and straghtforward method is used relating this kind of problem to compound empirical processes (i.e., empirical processes with random jumps). Hazard rate estimation under random censoring is also included as an example.compound empirical processes mn-decomposable processes curve estimation hazard rate estimation under random censoring