Adaptive estimation of an additive regression function from weakly   dependent data
  A $d$-dimensional nonparametric additive regression model with dependent observations is considered. Using the marginal integration technique and wavelets methodology, we develop a new adaptive estimator for a component of the additive regression function. Its asymptotic properties are investigated via the minimax approach under the $\mathbb{L}_2$ risk over Besov balls. We prove that it attains a sharp rate of convergence which turns to be the one obtained in the $\iid$ case for the standard univariate regression estimation problem. 
Christophe Chesneau, Jalal M. Fadili and Bertrand Maillot
math.ST stat.TH