Regression Estimation from an Individual Stable Sequence

摘要

We consider univariate regression estimation from an individual (non-random) sequence, which is stable in the sense that for each interval(i) the limiting relative frequency ofAunderx1,x2,#x2026; is governed by an unknown probability distribution#x3BC;, and (ii) the limiting average of thoseyiwithx#x2208;Ais governed by an unknown regression functionm(#xB7;).