Abstract:
Let (
Xn,
Yn);
n≥1 be
Rp×
Rq-valued random vectors sequence of stationary processes
φ-Mixing having common joint density
g(
x,
y), Let
h(
x) be the marginal density of
X1 and Let
f(
y|
x)=
g(
x,
y)/
h(
x) be the conditional density of
Y2 on
X1, then the double kernel estimates of
f(
y|
x) is defined by f_n(y \mid x)=\sum_i=1^n K_1\left(\fracx-X_ia_n\right) K_2\left(\fracy-Y_ib_n\right) /\leftb_n^q \sum_i=1^n K_1\left(\fracx-X_ia_n\right)\right,where
K1 and
K2 are probability density function on
Rp and
Rq. respectively and both
αn and
bn are sequences of positive numbers converging to zero. In the paper, we study the pointwise consistency and asymptotic normality of
fn(
y|
x)under the case of dependent asmple.