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It establishes the<jats:inline-graphic xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" mime-subtype=\"gif\" mimetype=\"image\" xlink:type=\"simple\" xlink:href=\"S026646661100079X_inline1\"><jats:alt-text>$\\root \\of T $<\/jats:alt-text><\/jats:inline-graphic>-consistency and the asymptotic normality of an estimator that allows for strictly stationary time-series data. The consistency of the Bartlett estimator of the derived asymptotic variance is also established. The proposed estimator is also shown to be asymptotically semiparametric efficient in the independent random sampling scheme. Monte Carlo experiments show that the proposed estimator performs well in finite sample applications.<\/jats:p>","DOI":"10.1017\/s026646661100079x","type":"journal-article","created":{"date-parts":[[2012,2,21]],"date-time":"2012-02-21T09:32:27Z","timestamp":1329816747000},"page":"769-803","source":"Crossref","is-referenced-by-count":7,"title":["<i>k<\/i>-NEAREST NEIGHBOR ESTIMATION OF INVERSE-DENSITY-WEIGHTED EXPECTATIONS WITH DEPENDENT DATA"],"prefix":"10.1017","volume":"28","author":[{"given":"Ba","family":"Chu","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"David T.","family":"Jacho-Ch\u00e1vez","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2012,2,21]]},"reference":[{"key":"S026646661100079X_ref67","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1987.tb00435.x"},{"key":"S026646661100079X_ref64","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176348513"},{"key":"S026646661100079X_ref63","doi-asserted-by":"publisher","DOI":"10.1006\/jmva.1993.1002"},{"key":"S026646661100079X_ref60","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00090-7"},{"key":"S026646661100079X_ref58","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177728190"},{"key":"S026646661100079X_ref57","doi-asserted-by":"publisher","DOI":"10.1073\/pnas.42.1.43"},{"key":"S026646661100079X_ref56","doi-asserted-by":"publisher","DOI":"10.1080\/10485259508832632"},{"key":"S026646661100079X_ref55","doi-asserted-by":"publisher","DOI":"10.2307\/1911033"},{"key":"S026646661100079X_ref54","doi-asserted-by":"crossref","first-page":"441","DOI":"10.1007\/s10463-007-0152-2","article-title":"Conditional independence, conditional mixing and conditional association","volume":"61","author":"Rao","year":"2009","journal-title":"Annals of the Institute of Statistical Mathematics"},{"volume-title":"Semimartingales and their Statistical Inference","year":"1999","author":"Rao","key":"S026646661100079X_ref53"},{"key":"S026646661100079X_ref51","doi-asserted-by":"publisher","DOI":"10.2307\/1913237"},{"key":"S026646661100079X_ref50","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"S026646661100079X_ref45","doi-asserted-by":"publisher","DOI":"10.2307\/2938351"},{"key":"S026646661100079X_ref44","doi-asserted-by":"publisher","DOI":"10.1007\/BF00532611"},{"key":"S026646661100079X_ref43","doi-asserted-by":"crossref","first-page":"253","DOI":"10.4324\/9780203074206.ch15","volume-title":"Trade, Theory and Econometrics","volume":"15","author":"McFadden","year":"1999"},{"key":"S026646661100079X_ref42","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(79)90065-4"},{"key":"S026646661100079X_ref41","doi-asserted-by":"publisher","DOI":"10.1007\/BF02880000"},{"key":"S026646661100079X_ref40","doi-asserted-by":"publisher","DOI":"10.1214\/aoms\/1177700079"},{"key":"S026646661100079X_ref37","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2005.08.005"},{"key":"S026646661100079X_ref36","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.11.006"},{"key":"S026646661100079X_ref35","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2006.11.004"},{"key":"S026646661100079X_ref34","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00015-4"},{"key":"S026646661100079X_ref33","doi-asserted-by":"publisher","DOI":"10.2307\/2998542"},{"key":"S026646661100079X_ref59","doi-asserted-by":"publisher","DOI":"10.1080\/07362998708809108"},{"key":"S026646661100079X_ref6","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(88)90154-6"},{"key":"S026646661100079X_ref27","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466609090549"},{"key":"S026646661100079X_ref39","doi-asserted-by":"publisher","DOI":"10.1080\/07474939708800396"},{"key":"S026646661100079X_ref65","doi-asserted-by":"crossref","DOI":"10.1201\/b15702","volume-title":"Measure and Integral","author":"Wheeden","year":"1977"},{"key":"S026646661100079X_ref47","doi-asserted-by":"crossref","first-page":"2111","DOI":"10.1016\/S1573-4412(05)80005-4","volume-title":"Handbook of Econometrics","volume":"IV","author":"Newey","year":"1994"},{"key":"S026646661100079X_ref46","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00011-0"},{"key":"S026646661100079X_ref4","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"S026646661100079X_ref52","unstructured":"Pinkse J. 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