Asymptotic normality of conditional density estimation with left-truncated and dependent data

摘要

Based on the idea of the local polynomial smoother, we construct the Nadaraya-Watson type and local linear estimators of conditional density function for a left-truncation model. Asymptotic normality of the estimators is established under the lifetime observations are assumed to be a sequence of stationary alpha-mixing random variables. Finite sample behavior of the estimators is investigated via simulations too.