WIAS Preprint No. 916, (2004)

Asymptotic statistical equivalence for ergodic diffusions



Authors

  • Dalalyan, Arnak
  • Reiß, Markus

2010 Mathematics Subject Classification

  • 62B15 62C05 62G20 62M99

Keywords

  • Asymptotic equivalence, statistical experiment, Le Cam distance, ergodic diffusion, mixed Gaussian white noise

Abstract

For scalar diffusion models with unknown drift function asymptotic equivalence in the sense of Le Cam's deficiency between statistical experiments is considered for long-time asymptotics. A local asymptotic equivalence result is established with an accompanying sequence of simple Gaussian shift experiments. Corresponding globally asymptotically equivalent experiments are obtained as compound experiments. The results are extended in several directions including time discretisation.

Appeared in

  • Probab. Theory Related Fields

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