[Statlist] Seminar on statistics

[Christina Kuenzli]

              ETH and University of Zurich 

                           Proff. 
         A.D. Barbour - P. Buehlmann - F. Hampel 
              H.R. Kuensch - S. van de Geer

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    We are pleased to announce the following talks
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Thursday, April 27, 2006, 12.30-13.15 Lunch-Seminar

       Introduction to asymptotic equivalence
      
       Sara van de Geer, Seminar fuer Statistik, ETH Zurich

This is an informal introduction to the concept of asymptotic equivalence
of experiments. It provides some background material for the lecture by
Prof. Michael Nussbaum on April 28. 
Bringing sandwiches or other muffled consumptions is encouraged.

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Friday, April 28, 2006, 15.15, LEO C 15

       Asymptotic Equivalence of Spectral Density Estimation and
                       Gaussian White Noise
 
        Michael Nussbaum, Cornell University, Ithaca, NY, USA

We consider the statistical experiment given by a an n-sample of a
stationary Gaussian process with an unknown smooth spectral density.
Asymptotic equivalence, in the sense of Le Cam's deficiency distance, to
two Gaussian experiments with simpler structure is established. The first
one is given by independent zero mean Gaussians with variance
approximately the values of the spectral density on a uniform grid of
points (nonparametric Gaussian scale regression). This approximation is
closely related to well-known asymptotic independence results for the
periodogram and corresponding inference methods. The second asymptotic
equivalence is to a Gaussian white noise model where the drift function is
the log-spectral density. This represents the step from a Gaussian scale
model to a location model, and also has a counterpart in
established inference methods, i.e. log-periodogram regression. The
problem of simple explicit equivalence maps (Markov kernels), allowing to
directly carry over inference, appears in this context but is as yet
unsolved.
This is joint work with Georgi Golubev and Harrison Zhou.


________________________________________________________
Christina Kuenzli            <kuenzli at stat.math.ethz.ch>
Seminar fuer Statistik      
Leonhardstr. 27,  LEO D11      phone: +41 (0)44 632 3438         
ETH-Zentrum,                   fax  : +41 (0)44 632 1228 
CH-8092 Zurich, Switzerland        http://stat.ethz.ch/~