Efang Kong, Oliver Linton and Yingcun Xia

Published January 2009

---

We use local polynomial fitting to estimate the nonparametric M-regression function for strongly mixing stationary processes {(Y_i,?X_i ) } . We establish a strong uniform consistency rate for the Bahadur representation of estimators of the regression function and its derivatives. These results are fundamental for statistical inference and for applications that involve plugging such estimators into other functional where some control over higher order terms are required. We apply our results to the estimation of an additive M-regression model.