Asymptotic equivalence of nonparametric autoregression and nonparametric regression

DOI10.1214/009053606000000560zbMATH Open1246.62105arXivmath/0611257OpenAlexW4302342522MaRDI QIDQ449943FDOQ449943

Authors: Michael H. Neumann, Ion Grama 

Publication date: 3 September 2012

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

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.

Full work available at URL: https://arxiv.org/abs/math/0611257

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)

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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
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• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
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• 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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