A complement to Le Cam’s theorem
Mark G. Low and Harrison H. Zhou
Source: Ann. Statist.
Volume 35, Number 3
(2007), 1146-1165.
Abstract
This paper examines asymptotic equivalence in the sense of Le Cam between density estimation experiments and the accompanying Poisson experiments. The significance of asymptotic equivalence is that all asymptotically optimal statistical procedures can be carried over from one experiment to the other. The equivalence given here is established under a weak assumption on the parameter space ℱ. In particular, a sharp Besov smoothness condition is given on ℱ which is sufficient for Poissonization, namely, if ℱ is in a Besov ball Bp,qα(M) with αp>1/2. Examples show Poissonization is not possible whenever αp<1/2. In addition, asymptotic equivalence of the density estimation model and the accompanying Poisson experiment is established for all compact subsets of C([0,1]m), a condition which includes all Hö lder balls with smoothness α>0.
Primary Subjects: 62G20
Secondary Subjects: 62G08
Keywords: Asymptotic equivalence; Poissonization; decision theory; additional observations
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aos/1185304001
Digital Object Identifier: doi:10.1214/009053607000000091
Mathematical Reviews number (MathSciNet):
MR2341701
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