Asymptotic equivalence for regression under fractional noise

DOI10.1214/14-AOS1262zbMATH Open1302.62097arXiv1312.0416MaRDI QIDQ482907FDOQ482907

Authors: Johannes Schmidt-Hieber 

Publication date: 6 January 2015

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

Abstract: Consider estimation of the regression function based on a model with equidistant design and measurement errors generated from a fractional Gaussian noise process. In previous literature, this model has been heuristically linked to an experiment, where the anti-derivative of the regression function is continuously observed under additive perturbation by a fractional Brownian motion. Based on a reformulation of the problem using reproducing kernel Hilbert spaces, we derive abstract approximation conditions on function spaces under which asymptotic equivalence between these models can be established and show that the conditions are satisfied for certain Sobolev balls exceeding some minimal smoothness. Furthermore, we construct a sequence space representation and provide necessary conditions for asymptotic equivalence to hold.

Full work available at URL: https://arxiv.org/abs/1312.0416

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zbMATH Keywords

stationarityfractional Brownian motioninverse problemslong memoryasymptotic equivalencefractional calculusnonharmonic Fourier seriesfractional Gaussian noisereproducing kernel Hilbert space (RKHS)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (8)

• The Le Cam distance between density estimation, Poisson processes and Gaussian white noise
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• Le cam theory on the comparison of statistical models
• Bayesian inverse problems with heterogeneous variance
• Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities
• Asymptotic equivalence for regression under fractional noise
• Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
• Asymptotic equivalence for nonparametric regression with dependent errors: Gauss-Markov processes

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