Asymptotic equivalence of nonparametric autoregression and nonparametric regression. (English) Zbl 1246.62105
Summary: We prove that nonparametric autoregression is asymptotically equivalent in the sense of Le Cam’s deficiency distance to nonparametric regression with random designs as well as with regular nonrandom designs.
MSC:
| 62G08 | Nonparametric regression and quantile regression |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
| 62G20 | Asymptotic properties of nonparametric inference |
| 62B15 | Theory of statistical experiments |
Keywords:
deficiency distance; Gaussian approximation; nonparametric autoregression; nonparametric regressionReferences:
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