Asymptotic equivalence of nonparametric regression and white noise model has its limits
Abstract
One of the common themes of the modern nonparametric functional estimation folklore is that the signal-in-white-noise model can serve as a prototype for nonparametric regression. In this note we give an example showing that it may not always be the caseDownload Info
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Bibliographic Info
Article provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 28 (1996)
Issue (Month): 2 (June)
Pages: 143-145
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Related research
Keywords: Quadratic functional Filtering Sobolev and Holder classes Smoothness;References
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Nagel, Eva-Renate & Dette, Holger & Neumeyer, Natalie, 2004. "Bootstrap tests for the error distribution in linear and nonparametric regression models," Technical Reports 2004,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Mathias Trabs, 2011. "Calibration of selfdecomposable Lévy models," SFB 649 Discussion Papers SFB649DP2011-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Markus Reiß, 2006.
"Spectral calibration of exponential Lévy Models [1],"
SFB 649 Discussion Papers
SFB649DP2006-034, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
- Efromovich, Sam, 2003. "On the limit in the equivalence between heteroscedastic regression and filtering model," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 239-242, July.
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