Asymptotic equivalence for regression under fractional noise

DOI10.1214/14-AOS1262zbMath1302.62097arXiv1312.0416MaRDI QIDQ482907

Johannes Schmidt-Hieber

Publication date: 6 January 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.0416

zbMATH Keywords

fractional Brownian motioninverse problemsfractional calculuslong memorystationarityfractional Gaussian noiseasymptotic equivalencenonharmonic Fourier seriesreproducing kernel Hilbert space (RKHS)

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22)

Related Items (8)

Bayesian inverse problems with heterogeneous variance ⋮ Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise ⋮ Le cam theory on the comparison of statistical models ⋮ Asymptotic equivalence for regression under fractional noise ⋮ The Le Cam distance between density estimation, Poisson processes and Gaussian white noise ⋮ Strong Gaussian approximation of the mixture Rasch model ⋮ Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities ⋮ Asymptotic equivalence for nonparametric regression with dependent errors: Gauss-Markov processes

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