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Asymptotic normality of local least square estimator for a varying coefficient model

Bo Yu, Zhiqiang Wen


Consider a varying coefficient model with independent and identically distributed random errors. By using the local least square criterion, an estimator of unknown coefficient function in the varying coefficient model is constructed. Under some reasonable assumptions, the asymptotic normality of the proposed estimator is derived.


asymptotic normality, local least square, varying coefficient model.

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