Average CaseL∞-Approximation in the Presence of Gaussian Noise

AbstractWe consider the average caseL∞-approximation of functions fromCr([0, 1]) with respect to ther-fold Wiener measure. An approximation is based onnfunction evaluations in the presence of Gaussian noise with varianceσ2>0. We show that the n th minimal average error is of ordern−(2r+1)/(4r+4)ln1/2n, and that it can be attained either by the piecewise polynomial approximation using repetitive observations, or by the smoothing spline approximation using non-repetitive observations. This completes the already known results forLq-approximation withq<∞ andσ⩾0, and forL∞-approximation withσ=0