A complement to Le Cam's theorem

DOI10.1214/009053607000000091MaRDI QIDQ2642744zbMATH OpenOpenAlexFDO

Authors Harrison H. Zhou, Mark G. Low

Publication date 4 September 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.2233

zbMATH Keywords

additional observationsasymptotic equivalencedecision theoryPoissonization

Mathematics Subject Classification ID

Theory of statistical experiments (62B15) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

Abstract: This paper examines asymptotic equivalence in the sense of Le Cam between density estimation experiments and the accompanying Poisson experiments. The significance of asymptotic equivalence is that all asymptotically optimal statistical procedures can be carried over from one experiment to the other. The equivalence given here is established under a weak assumption on the parameter space $mathcalF$. In particular, a sharp Besov smoothness condition is given on $mathcalF$ which is sufficient for Poissonization, namely, if $mathcalF$ is in a Besov ball $B_{p,q}^{alpha}(M)$ with $alphap>1/2$. Examples show Poissonization is not possible whenever $alphap<1/2$. In addition, asymptotic equivalence of the density estimation model and the accompanying Poisson experiment is established for all compact subsets of $C([0,1{]}^m)$, a condition which includes all H"{o}lder balls with smoothness $alpha>0$.

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Cites work

• Asymptotic equivalence for nonparametric generalized linear models
• Asymptotic equivalence of density estimation and Gaussian white noise
• Asymptotic equivalence of nonparametric regression and white noise
• Asymptotic equivalence of spectral density estimation and Gaussian white noise
• Asymptotic methods in statistical decision theory
• Asymptotic nonequivalence of nonparametric experiments when the smoothness index is 1/2
• Diffusion approximation for nonparametric autoregression
• Equivalence theory for density estimation, Poisson processes and Gaussian white noise with drift
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• On the information contained in additional observations
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Cited in

(12)

• The Le Cam distance between density estimation, Poisson processes and Gaussian white noise
• Gaussianization machines for non-Gaussian function estimation models
• Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities
• On the le Cam distance between Poisson and Gaussian experiments and the asymptotic properties of Szasz estimators
• scientific article; zbMATH DE number 3915191 (Why is no real title available?)
• scientific article; zbMATH DE number 202553 (Why is no real title available?)
• Le Cam theory on the comparison of statistical models
• Local comparison of empirical distributions via nonparametric regression
• A complement to the connecting lemma of Hayashi
• Information in additional observations of a non-parametric experiment that is not estimable
• The root-unroot algorithm for density estimation as implemented via wavelet block thresholding
• Asymptotic equivalence of spectral density estimation and Gaussian white noise

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