Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

Details Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

2005-05-03

arxiv.org/abs/math/0505053v2

Mathematics

Statistics Theory

03 May 2005, 23 pages

Scientific paper

Asymptotic local equivalence in the sense of Le Cam is established for inference on the drift in multidimensional ergodic diffusions and an accompanying sequence of Gaussian shift experiments. The nonparametric local neighbourhoods can be attained for any dimension, provided the regularity of the drift is sufficiently large. In addition, a heteroskedastic Gaussian regression experiment is given, which is also locally asymptotically equivalent and which does not depend on the centre of localisation. For one direction of the equivalence an explicit Markov kernel is constructed.

Affiliated with

Also associated with

No associations

Rating

Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-460548