This article considers how functional kernel methods can be used to study α-mixing datasets. It first provides an overview of how prediction problems involving dependent functional datasets may arise from the study of time series, focusing on the standard discretized model and modelization that takes into account the functional nature of the evolution of the quantity to be studied over time. It then considers strong mixing conditions, with emphasis on the notion of α-mixing coefficients and α-mixing variables introduced by Rosenblatt (1956). It also describes some conditions for a Markov chain to be α-mixing; some useful tools that provide covariance inequalities, exponential inequalities, and Central Limit Theorem (CLT) for α-mixing sequences; the asymptotic properties of functional kernel estimators; the use of kernel smoothing methods with α-mixing datasets; and various functional kernel estimators corresponding to different prediction methods. Finally, the article highlights some interesting prospects for further research.
Yield Curve Estimation by Kernel Smoothing Methods
