Asymptotic equivalence of nonparametric autoregression and nonparametric regression

被引：10

作者：

Grama, Ion G.

Neumann, Michael H.

机构：

[1] Univ Bretagne Sud, Ctr Rech Yves Coppens, F-56000 Vannes, France

[2] Univ Jena, Inst Stochast, D-07743 Jena, Germany

来源：

ANNALS OF STATISTICS | 2006年 / 34卷 / 04期

关键词：

asymptotic equivalence; deficiency distance; Gaussian approximation; nonparametric autoregression; nonparametric regression;

D O I：

10.1214/009053606000000560

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：1701 / 1732

页数：32

共 50 条

[41] ASYMPTOTIC THEORY FOR ZERO ENERGY FUNCTIONALS WITH NONPARAMETRIC REGRESSION APPLICATIONS
Wang, Qiying
Phillips, Peter C. B.
ECONOMETRIC THEORY, 2011, 27 (02) : 235 - 259
[42] Asymptotic distributions of nonparametric regression estimators for longitudinal or functional data
Yao, Fang
JOURNAL OF MULTIVARIATE ANALYSIS, 2007, 98 (01) : 40 - 56
[43] Asymptotic properties of nonparametric regression for long memory random fields
Wang, Lihong
Cai, Haiyan
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2010, 140 (03) : 837 - 850
[44] Uniform asymptotic properties of a nonparametric regression estimator of conditional tails
Goegebeur, Yuri
Guillou, Armelle
Stupfler, Gilles
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2015, 51 (03): : 1190 - 1213
[45] On the asymptotic performance of median smoothers in image analysis and nonparametric regression
Koch, I
ANNALS OF STATISTICS, 1996, 24 (04): : 1648 - 1666
[46] A WEAK INVARIANCE-PRINCIPLE FOR A NONPARAMETRIC TEST STATISTICS IN NONLINEAR-REGRESSION AND AUTOREGRESSION
DIEBOLT, J
LAIB, N
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1991, 312 (11): : 887 - 891
[47] Bayesian Nonparametric Density Autoregression with Lag Selection*
Heiner, Matthew
Kottas, Athanasios
BAYESIAN ANALYSIS, 2022, 17 (04): : 1245 - 1273
[48] Sequential model selection method for nonparametric autoregression
Arkoun, Ouerdia
Brua, Jean-Yves
Pergamenshchikov, Serguei
SEQUENTIAL ANALYSIS-DESIGN METHODS AND APPLICATIONS, 2019, 38 (04): : 437 - 460
[49] A Simple Class of Bayesian Nonparametric Autoregression Models
Di Lucca, Maria Anna
Guglielmi, Alessandra
Mueller, Peter
Quintana, Fernando A.
BAYESIAN ANALYSIS, 2013, 8 (01): : 63 - 87
[50] Nonparametric bounds on equivalence scales
Dudel, Christian
ECONOMICS BULLETIN, 2015, 35 (04): : 2161 - 2165

← 1 2 3 4 5 →