Asymptotic equivalence of nonparametric autoregression and nonparametric regression
classification
🧮 math.ST
stat.TH
keywords
nonparametricautoregressiondesignregressionasymptoticasymptoticallydeficiencydistance
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It is proved that nonparametric autoregression is asymptotically equivalent in the sense of Le Cam's deficiency distance to nonparametric regression with random design as well as with regular nonrandom design.
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