Optimal Uniform Convergence Rates and Asymptotic Normality for Series Estimators Under Weak Dependence and Weak Conditions

Xiaohong Chen, Timothy Christensen

We show that spline and wavelet series regression estimators for weakly dependent regressors attain the optimal uniform (i.e. sup-norm) convergence rate $(n/\log n{)}^{-p/(2p+d)}$ of…