Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case

This paper establishes the global asymptotic equivalence, in the sense of the Le Cam $\Delta$-distance, between scalar diffusion models with unknown drift function and small variance on the one side, and nonparametric autoregressive models on the other side. The time horizon $T$ is kept fixed and both the cases of discrete and continuous observation of the path are treated. We allow non constant diffusion coefficient, bounded but possibly tending to zero. The asymptotic equivalences are established by constructing explicit equivalence mappings.Comment: 21 page

Optimal nonparametric estimation of the density of regression errors with finite support

Adaptation, Error depending on predictor, Heteroscedasticity, Minimax, Pinsker oracle,

Oracle inequality for conditional density estimation and an actuarial example

Dimension reduction, Fixed and random design, MISE, Nonparametric regression,

A Study of Blockwise Wavelet Estimates Via Lower Bounds for a Spike Function

A blockwise shrinkage is a popular adaptive procedure for non-parametric series estimates. It possesses an impressive range of asymptotic properties, and there is a vast pool of blocks and shrinkage procedures used. Traditionally these estimates are studied via upper bounds on their risks. This article suggests the study of these adaptive estimates via non-asymptotic lower bounds established for a spike underlying function that plays a pivotal role in the wavelet and minimax statistics. While upper-bound inequalities help the statistician to find sufficient conditions for a desirable estimation, the non-asymptotic lower bounds yield necessary conditions and shed a new light on the popular method of adaptation. The suggested method complements and knits together two traditional techniques used in the analysis of adaptive estimates: a numerical study and an asymptotic minimax inference. Copyright 2005 Board of the Foundation of the Scandinavian Journal of Statistics..

Optimal Sequential Design in a Controlled Non-parametric Regression

In a non-parametric regression, the heteroscedasticity (dependence of the variance of the regression error on the predictor) can be a serious complication in estimation or visualization of an underlying regression function. If a controlled sampling is permitted, then the statistician can choose the design of predictors which attenuates the effect of heteroscedasticity. It is proposed to use a design which minimizes the mean integrated squared error of the regression function estimation. Then the corresponding optimal design density is proportional to the standard deviation of the regression error (the so-called scale function). Because in general the statistician does not know an underlying scale function, the natural question is as follows: is it possible to suggest a sequential design which performs as well as an oracle that knows the underlying scale function? The answer is 'yes', and a corresponding sequential procedure is developed. It is proved, for the first time in the literature, that a data-driven sequential design, together with an adaptive regression estimator, can mimic the oracle and be sharp minimax. Further, it is shown that the suggested method is feasible for small samples. Copyright (c) Board of the Foundation of the Scandinavian Journal of Statistics 2008.