Asymptotic equivalence of nonparametric autoregression and nonparametric regression

DOI10.1214/009053606000000560MaRDI QIDQ449943zbMATH OpenOpenAlexFDO

Authors Michael H. Neumann, Ion Grama

Publication date 3 September 2012

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

Full work available at URL https://arxiv.org/abs/math/0611257, https://projecteuclid.org/euclid.aos/1162567630

zbMATH Keywords

Gaussian approximationnonparametric regressiondeficiency distancenonparametric autoregression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of statistical experiments (62B15)

Abstract: It is proved that nonparametric autoregression is asymptotically equivalent in the sense of Le Cam's deficiency distance to nonparametric regression with random design as well as with regular nonrandom design.

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Cited in

(14)

• Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
• Limit experiments of GARCH
• The Le Cam distance between density estimation, Poisson processes and Gaussian white noise
• Asymptotic statistical equivalence for scalar ergodic diffusions
• Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case
• Some developments in semiparametric statistics
• Asymptotic equivalence for nonparametric regression
• Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
• Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
• Le Cam theory on the comparison of statistical models
• Estimating the innovation distribution in nonparametric autoregression
• Gaussianization machines for non-Gaussian function estimation models
• Asymptotic equivalence for nonparametric regression with dependent errors: Gauss-Markov processes

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