Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

DOI10.1007/S00440-006-0502-7MaRDI QIDQ866947zbMATH OpenOpenAlexFDO

Authors Arnak S. Dalalyan, Markus Reiß

Publication date 14 February 2007

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0505053

zbMATH Keywords

Gaussian shiftAsymptotic equivalenceLe Cam distanceErgodic diffusionHeteroskedastic regressionStatistical experiment

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Theory of statistical experiments (62B15)

Abstract: 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.

Recommendations

• Asymptotic statistical equivalence for scalar ergodic diffusions
• Asymptotic properties of some multidimensional diffusions
• scientific article; zbMATH DE number 622512
• Geometric ergodicity of discrete-time approximations to multivariate diffusions
• Concentration of scalar ergodic diffusions and some statistical implications
• Ergodicity and exponential -mixing bounds for multidimensional diffusions with jumps
• scientific article; zbMATH DE number 3872425
• Asymptotic properties of solutions of multidimensional stochastic differential equations

Cites work

• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
• A continuous Gaussian approximation to a nonparametric regression in two dimensions
• A representation formula for transition probability densities of diffusions and applications
• Asymptotic equivalence for a null recurrent diffusion
• Asymptotic equivalence of density estimation and Gaussian white noise
• Asymptotic equivalence of nonparametric autoregression and nonparametric regression
• Asymptotic equivalence of nonparametric regression and white noise
• Asymptotic equivalence theory for nonparametric regression with random design
• Asymptotic nonequivalence of nonparametric experiments when the smoothness index is \(1/2\)
• Asymptotic statistical equivalence for scalar ergodic diffusions
• Asymptotics in statistics: some basic concepts
• Closed-form likelihood expansions for multivariate diffusions
• Comparison theorem and estimates for transition probability densities of diffusion processes
• Criteria for recurrence and existence of invariant measures for multidimensional diffusions
• Estimation of spectral gap for elliptic operators
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Nonparametric curve estimation. Methods, theory, and applications
• On smoothed probability density estimation for stationary processes
• On the functional estimation of multivariate diffusion processes
• Statistical inference for ergodic diffusion processes.
• The asymptotic minimax constant for sup-norm loss in nonparametric density estimation
• Weighted uniform consistency of kernel density estimators.

Cited in

(39)

• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
• Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
• Minimal conditions for consistent variable selection in high dimension
• Invariant density adaptive estimation for ergodic jump-diffusion processes over anisotropic classes
• Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations
• Parametric inference for ergodic McKean-Vlasov stochastic differential equations
• Consistency of Bayesian nonparametric inference for discretely observed jump diffusions
• Asymptotic statistical equivalence for scalar ergodic diffusions
• Asymptotic equivalence for nonparametric regression with multivariate and random design
• Nonparametric statistical inference for drift vector fields of multi-dimensional diffusions
• Sharp adaptive drift estimation for ergodic diffusions: the multivariate case
• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
• Asymptotic equivalence for a null recurrent diffusion
• Adaptive estimation for degenerate diffusion processes
• Penalized nonparametric drift estimation for a multidimensional diffusion process
• Donsker theorems for occupation measures of multi-dimensional periodic diffusions
• Level set and drift estimation from a reflected Brownian motion with drift
• Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities
• On the convergence rate of potentials of Brenier maps
• Minimax estimation of smooth optimal transport maps
• Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments
• Estimation of the invariant density for discretely observed diffusion processes: impact of the sampling and of the asynchronicity
• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
• Rate of estimation for the stationary distribution of jump-processes over anisotropic Hölder classes
• Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise
• Statistical convergence of Markov experiments to diffusion limits
• Le Cam theory on the comparison of statistical models
• Parametric inference for small variance and long time horizon McKean-Vlasov diffusion models
• Estimating the characteristics of stochastic damping Hamiltonian systems from continuous observations
• Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions
• Gaussianization machines for non-Gaussian function estimation models
• Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
• Rate of estimation for the stationary distribution of stochastic damping Hamiltonian systems with continuous observations
• Curve registration by nonparametric goodness-of-fit testing
• Drift estimation for a multi-dimensional diffusion process using deep neural networks
• Consistent inference for diffusions from low frequency measurements

This page was built for publication: Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q866947)