Asymptotic equivalence of nonparametric autoregression and nonparametric regression

Ion G. Grama; Michael H. Neumann

doi:10.1214/009053606000000560

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August 2006 Asymptotic equivalence of nonparametric autoregression and nonparametric regression

Ion G. Grama, Michael H. Neumann

Ann. Statist. 34(4): 1701-1732 (August 2006). DOI: 10.1214/009053606000000560

Abstract

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.

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Ion G. Grama. Michael H. Neumann. "Asymptotic equivalence of nonparametric autoregression and nonparametric regression." Ann. Statist. 34 (4) 1701 - 1732, August 2006. https://doi.org/10.1214/009053606000000560