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Constructive asymptotic equivalence of density estimation and Gaussian white noise

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  • Nussbaum, Michael
  • Klemelä, Jussi

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.

Suggested Citation

  • Nussbaum, Michael & Klemelä, Jussi, 1998. "Constructive asymptotic equivalence of density estimation and Gaussian white noise," SFB 373 Discussion Papers 1998,53, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199853
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    References listed on IDEAS

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    1. Holmström, Lasse & Klemelä, Jussi, 1992. "Asymptotic bounds for the expected L1 error of a multivariate kernel density estimator," Journal of Multivariate Analysis, Elsevier, vol. 42(2), pages 245-266, August.
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