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

Asymptotic equivalenceErgodic diffusionGaussian shiftHeteroskedastic regressionLe Cam distanceStatistical experiment

Mathematics Subject Classification ID

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

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.

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Cited in

(47)

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• Adaptive invariant density estimation for ergodic diffusions over anisotropic classes
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