In this article, we study nonparametric estimation of regression function by using the
weighted Nadaraya–Watson approach. We establish the asymptotic normality and weak
consistency of the resulting estimator for α-mixing time series at both boundary and interior
points, and we show that the weighted Nadaraya–Watson estimator not only preserves the
bias, variance, and more importantly, automatic good boundary behavior properties of local
linear estimator, but also makes computation fast. Furthermore, the asymptotic minimax …