Abstract
In this paper,the variable bandwidth local M approach is employed to estimate the coefficient functions in varying coefficient models,and the consistence and the asymptotical normality of the robust M-estimation is given.The proposed method inherits the advantages of local polynomial regression and overcomes lack of robustness of least squares techniques. The use of variable bandwidth enhances the flexibility of the resulting local M-estimators and make them possible to cope well with spatially inhomogeneous curve,heteroscedasticity and nonuniform design density.
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