Paper is devoted to estimation of conditional distribution function in heteroscedastical regression model, in which responses are α-mixing random variables. It is found the expression for mean square deviation of estimator and optimal window width sequence.
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Abdikalikov, Farkhad and Reymova, Laura
"The optimal risk of estimator of conditional distribution function in a model of heteroscedastic regression with weakly dependent observations,"
Bulletin of National University of Uzbekistan: Mathematics and Natural Sciences: Vol. 1
, Article 3.
Available at: https://uzjournals.edu.uz/mns_nuu/vol1/iss4/3