Asymptotic equivalence of functional linear regression and a white noise inverse problem

Citation
Meister, Alexander, Asymptotic equivalence of functional linear regression and a white noise inverse problem, Annals of statistics , 39(3), 2011, pp. 1471-1495
Journal title
ISSN journal
00905364
Volume
39
Issue
3
Year of publication
2011
Pages
1471 - 1495
Database
ACNP
SICI code
Abstract
We consider the statistical experiment of functional linear regression (FLR). Furthermore, we introduce a white noise model where one observes an Itô process, which contains the covariance operator of the corresponding FLR model in its construction. We prove asymptotic equivalence of FLR and this white noise model in LeCam.s sense under known design distribution. Moreover, we show equivalence of FLR and an empirical version of the white noise model for finite sample sizes. As an application, we derive sharp minimax constants in the FLR model which are still valid in the case of unknown design distribution.