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Asymptotic equivalence of nonparametric regression and white noise model has its limits

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  • Efromovich, Sam
  • Samarov, Alex

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 case

Suggested Citation

  • Efromovich, Sam & Samarov, Alex, 1996. "Asymptotic equivalence of nonparametric regression and white noise model has its limits," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 143-145, June.
    • Handle: RePEc:eee:stapro:v:28:y:1996:i:2:p:143-145
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    Citations

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    Cited by:

    1. Denis Belomestny & Markus Reiß, 2006. "Spectral calibration of exponential Lévy models," Finance and Stochastics, Springer, vol. 10(4), pages 449-474, December.
    2. 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.
    3. Trabs, Mathias, 2011. "Calibration of self-decomposable Lévy models," SFB 649 Discussion Papers 2011-073, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. repec:hum:wpaper:sfb649dp2011-073 is not listed on IDEAS
    5. repec:hum:wpaper:sfb649dp2006-034 is not listed on IDEAS
    6. Mariucci, Ester, 2016. "Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise," Stochastic Processes and their Applications, Elsevier, vol. 126(2), pages 503-541.
    7. 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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