Abstract

In this paper, under the stationary α‐mixing dependent samples, we develop a novel nonlinear modal regression for time series sequences and establish the consistency and asymptotic property of the proposed nonlinear modal estimator with a shrinking bandwidth h under certain regularity conditions. The asymptotic distribution is shown to be identical to the one derived from the independent observations, whereas the convergence rate (nh3 in which n is the sample size) is slower than that in the nonlinear mean regression. We numerically estimate the proposed nonlinear modal regression model by the use of a modified modal expectation–maximization (MEM) algorithm in conjunction with Taylor expansion. Monte Carlo simulations are presented to demonstrate the good finite sample (prediction) performance of the newly proposed model. We also construct a specified nonlinear modal regression to match the available daily new cases and new deaths data of the COVID‐19 outbreak at the state/region level in the United States, and provide forward predictions up to 130 days ahead (from 24 August 2020 to 31 December 2020). In comparison to the traditional nonlinear regressions, the suggested model can fit the COVID‐19 data better and produce more precise predictions. The prediction results indicate that there are systematic differences in spreading distributions among states/regions. For most western and eastern states, they have many serious COVID‐19 burdens compared to Midwest. We hope that the built nonlinear modal regression can help policymakers to implement fast actions to curb the spread of the infection, avoid overburdening the health system and understand the development of COVID‐19 from some points.

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