Abstract. In a pioneer work, Révész (1973) introduces the stochastic approximation method to build up a recursive kernel estimator of the regression function x 7→ E(Y |X = x). However, according to Révész (1977), his estimator has two main drawbacks: on the one hand, its convergence rate is smaller than that of the nonrecursive Nadaraya-Watson’s kernel regression estimator, and, on the other ha...
