Constructive asymptotic equivalence of density estimation and Gaussian white noise

A recipe is provided for producing, from a sequence of procedures in the Gaussian regression model, an asymptotically equivalent sequence in the density estimation model with i. i. d. observations. The recipe is, to put it roughly, to calculate square roots of normalised frequencies over certain intervals, add a small random distortion, and pretend these to be observations from a Gaussian discrete regression model.

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Year of publication:	1998
Authors:	Nussbaum, Michael ; Klemelä, Jussi
Publisher:	Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Subject:	asymptotic minimax risk \| Nonparametric experiments \| deficiency distance \| Markov kernel \| curve estimation

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Series:	SFB 373 Discussion Paper ; 1998,53
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	721980759 [GVK] hdl:10419/61237 [Handle] RePEc:zbw:sfb373:199853 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010309849