Constructive asymptotic equivalence of density estimation and Gaussian white noise

Michael Nussbaum and Jussi Klemelä

No 1998,53, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: A recipe is provided for producing, from a sequence of procedures in the Gaussian regression model, an asymptotically equivalent sequence in the density estimation model with i. i. d. observations. The recipe is, to put it roughly, to calculate square roots of normalised frequencies over certain intervals, add a small random distortion, and pretend these to be observations from a Gaussian discrete regression model.

Keywords: asymptotic minimax risk; Nonparametric experiments; deficiency distance; Markov kernel; curve estimation (search for similar items in EconPapers)
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199853

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