In this paper we obtain the asymptotic distribution of robust nonparametric autoregression estimators for dependent observations. Weights based on kernel and nearest-neighbor methods are considered.
"Asymptotic Distribution of Robust Estimators for Nonparametric Models from Mixing Processes." Ann. Statist. 18 (2) 891 - 906, June, 1990. https://doi.org/10.1214/aos/1176347631