Asymptotic equivalence of nonparametric autoregression and nonparametric regression
Open Access
- 1 August 2006
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Statistics
- Vol. 34 (4) , 1701-1732
- https://doi.org/10.1214/009053606000000560
Abstract
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.Keywords
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