Local Polynomial Double-Smoothing Estimation of a Conditional Distribution Function with Dependent

Abstract

Based on the idea of local polynomial double-smoother, we propose an estimator of a conditional cumulative distribution function with dependent and left-truncated data. It is assumed that the observations form a stationary $α$-mixing sequence. Asymptotic normality of the estimator is established. The finite sample behavior of the estimator is investigated via simulations.