Berry-Esseen bounds of weighted kernel estimator for a nonparametric regression model based on linear process errors under a LNQD sequence

Abstract

In this paper, the authors investigate the Berry-Esseen bounds of weighted kernel estimator for a nonparametric regression model based on linear process errors under a LNQD random variable sequence. The rate of the normal approximation is shown as O(n− 1 / 6) under some appropriate conditions. The results obtained in the article generalize or improve the corresponding ones for mixing dependent sequences in some sense.