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
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	asymptotic minimax risk \| Nonparametric experiments \| deficiency distance \| Markov kernel \| curve estimation

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 1998,53
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010983526