Asymptotic equivalence of nonparametric autoregression and nonparametric regression

Details Asymptotic equivalence of nonparametric autoregression and nonparametric regression Asymptotic equivalence of nonparametric autoregression and nonparametric regression

2006-11-09

arxiv.org/abs/math/0611257v1

Annals of Statistics 2006, Vol. 34, No. 4, 1701-1732

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/009053606000000560 in the Annals of Statistics (http://www.imstat.org/aos/) by the Inst

Scientific paper

10.1214/009053606000000560

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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