ASYMPTOTIC EQUIVALENCE FOR REGRESSION UNDER FRACTIONAL NOISE

• 成果类型: Article
• 署名作者: Schmidt-Hieber, Johannes
• 署名单位: Leiden University - Excl LUMC; Leiden University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/14-AOS1262
• 发表日期: 2014
• 页码: 2557-2585
• 关键词: Nonparametric regression; DENSITY-ESTIMATION; wavelet shrinkage; Inverse problems; integration; volatility

摘要

Consider estimation of the regression function based on a model with equidistant design and measurement errors generated from a fractional Gaussian noise process. In previous literature, this model has been heuristically linked to an experiment, where the anti-derivative of the regression function is continuously observed under additive perturbation by a fractional Brownian motion. Based on a reformulation of the problem using reproducing kernel Hilbert spaces, we derive abstract approximation conditions on function spaces under which asymptotic equivalence between these models can be established and show that the conditions are satisfied for certain Sobolev balls exceeding some minimal smoothness. Furthermore, we construct a sequence space representation and provide necessary conditions for asymptotic equivalence to hold.