A Robbins-Monro algorithm for non-parametric estimation of NAR process with Markov-Switching: asymptotic normality

Lisandro Fermin, Ricardo Rios, Luis-Ángel Rodríguez

This paper is the second part of our study on the non-parametric estimation of MS-NAR processes started with [L. Fermin et al. 2017]. We consider the Nadaraya-Watson type regressio…