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Asymptotic Equivalence of Spectral Density Estimation and Gaussian White Noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence Whittle likelihood log-periodogram regression nonparametric Gaussian scale model signal in Gaussian white noise
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence, in the sense of Le Cam’s...
ASYMPTOTIC EQUIVALENCE OF SPECTRAL DENSITY ESTIMATION AND GAUSSIAN WHITE NOISE
ASYMPTOTIC EQUIVALENCE SPECTRAL DENSITY ESTIMATION GAUSSIAN WHITE NOISE
2015/8/25
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary Gaussian process with an unknown smooth spectral density f . Asymptotic equivalence, in the sense of Le Cam’...
ASYMPTOTIC EQUIVALENCE FOR NONPARAMETRIC REGRESSION
ASYMPTOTIC EQUIVALENCE NONPARAMETRIC REGRESSION
2015/8/25
We consider a nonparametric model En, generated by independent observations Xi, i = 1, ..., n, with densities p(x, θi), i = 1, ..., n, the parameters of which θi = f(i/n) ∈ Θ are driven by the values ...
ASYMPTOTIC EQUIVALENCE OF ESTIMATING A POISSON INTENSITY AND A POSITIVE DIFFUSION DRIFT
ASYMPTOTIC EQUIVALENCE ESTIMATING A POISSON INTENSITY POSITIVE DIFFUSION DRIFT
2015/8/25
We consider a diffusion model of small variance type with positive drift density varying in a nonparametric set. We investigate Gaussian and Poisson approximations to this model in the sense of asympt...
Asymptotic equivalence for nonparametric generalized linear models
Nonparametric regression Statistical experiment De® - ciency distance Global white noise approximation Exponential family Variance stabilizing transformation
2015/8/25
We establish that a non-Gaussian nonparametric regression model is asymptotically equivalent to a regression model with Gaussian noise. The approximation is in the sense of Le Cam's de®- ciency d...
ASYMPTOTIC EQUIVALENCE OF DENSITY ESTIMATION AND GAUSSIAN WHITE NOISE
ASYMPTOTIC EQUIVALENCE DENSITY ESTIMATION GAUSSIAN WHITE NOISE
2015/8/25
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
Asymptotic Equivalence of Density Estimation and Gaussian White Noise
Asymptotic Equivalence Density Estimation Gaussian White Noise
2015/8/25
Signal recovery in Gaussian white noise with variance tending to zero has served for some time as a representative model for nonparametric curve estimation, having all the essential traits in a pure f...
An asymptotic equivalence between two frame perturbation theorems
asymptotic equivalence two frame perturbation theorems
2010/12/3
In this paper, two stability results regarding exponential frames are compared.The theorems, (one proven herein, and the other in [3]), each give a constant such that if supn∈Z kenk¥ < C, and (eih...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatility estimation Le Cam defciency equivalence of experiments Gaussianshift
2010/4/27
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...