Asymptotic equivalence of spectral density estimation and Gaussian white noise

DOI10.1214/09-AOS705MaRDI QIDQ847633zbMATH OpenFDO

Authors Georgi K. Golubev, Michael Nussbaum, Harrison H. Zhou

Publication date 19 February 2010

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

Full work available at URL https://arxiv.org/abs/0903.1314

zbMATH Keywords

spectral densityasymptotic equivalenceWhittle likelihoodstationary Gaussian processSobolev classeslog-periodogram regressionLe Cam distancenonparametric Gaussian scale modelsignal in Gaussian white noise

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Theory of statistical experiments (62B15) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We consider the statistical experiment given by a sample of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam's deficiency Delta-distance, to two Gaussian experiments with simpler structure is established. The first one is given by independent zero mean Gaussians with variance approximately the value of f in points of a uniform grid (nonparametric Gaussian scale regression). This approximation is closely related to well-known asymptotic independence results for the periodogram and corresponding inference methods. The second asymptotic equivalence is to a Gaussian white noise model where the drift function is the log-spectral density. This represents the step from a Gaussian scale model to a location model, and also has a counterpart in established inference methods, i.e. log-periodogram regression. The problem of simple explicit equivalence maps (Markov kernels), allowing to directly carry over inference, appears in this context but is not solved here.

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