Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Asymptotic statistical equivalence for ergodic diffusions

Auteur(s):

Code(s) de Classification MSC:

Résumé: 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.

Mots Clés: Asymptotic equivalence ; statistical experiment ; Le Cam distance ; ergodic diffusion ; mixed Gaussian white noise

Date: 2004-03-18

Prépublication numéro: PMA-895