## The Annals of Statistics

### On the Almost Everywhere Convergence of Nonparametric Regression Function Estimates

Luc Devroye

#### Abstract

Let $(X, Y), (X_1, Y_1), \cdots, (X_n, Y_n)$ be independent identically distributed random vectors from $R^d \times R$, and let $E(|Y|^p) < \infty$ for some $p \geq 1$. We wish to estimate the regression function $m(x) = E(Y \mid X = x)$ by $m_n(x)$, a function of $x$ and $(X_1, Y_1), \cdots, (X_n, Y_n)$. For large classes of kernel estimates and nearest neighbor estimates, sufficient conditions are given for $E\{|m_n(x) - m(x)|^p\} \rightarrow 0$ as $n \rightarrow \infty$, almost all $x$. No additional conditions are imposed on the distribution of $(X, Y)$. As a by-product, just assuming the boundedness of $Y$, the almost sure convergence to 0 of $E\{|m_n(X) - m(X)\| X_1, Y_1, \cdots, X_n, Y_n\}$ is established for the same estimates. Finally, the weak and strong Bayes risk consistency of the corresponding nonparametric discrimination rules is proved for all possible distributions of the data.

#### Article information

Source
Ann. Statist., Volume 9, Number 6 (1981), 1310-1319.

Dates
First available in Project Euclid: 12 April 2007

https://projecteuclid.org/euclid.aos/1176345647

Digital Object Identifier
doi:10.1214/aos/1176345647

Mathematical Reviews number (MathSciNet)
MR630113

Zentralblatt MATH identifier
0477.62025

JSTOR