Asymptotic properties of the wavelet estimator in non parametric regression model with martingale difference errors.

This work mainly investigates the asymptotic properties for the wavelet estimator in a non parametric regression model with martingale difference random errors. The moment consistency, strong consistency, complete consistency, the rate of strong consistency and the asymptotic normality for the wavelet estimator are established under some mild conditions, which were not obtained before. Some numerical analysis is carried out to support the theoretical results. [ABSTRACT FROM AUTHOR]