k -NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA
依赖数据下逆密度加权期望的 k 近邻估计
This paper considers the problem of estimating expected values of functions that are inversely weighted by an unknown density using the k -nearest neighbor ( k -NN) method. It establishes the $\root \of T $ -consistency and the asymptotic normality of an estimator that allows for strictly stationary time-series data. The consistency of the Bartlett estimator of the derived asymptotic variance is also established. The proposed estimator is also shown to be asymptotically…