Asymptotic Nonequivalence of Nonparametric Experiments When the Smoothness Index is ½

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Statistics Papers
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risk equivalence
nonparametric regression
density estimation
white noise
Statistics and Probability
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Brown, Lawrence D
Zhang, Cun-Hui
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An example is provided to show that the natural asymptotic equivalence does not hold between any pairs of three nonparametric experiments: density problem, white noise with drift and nonparametric regression, when the smoothness index of the unknown nonparametric function class is ½

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1998
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The Annals of Statistics
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