Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case

DOI10.1007/S11203-015-9117-XzbMATH1345.62026OpenAlexW1966161094MaRDI QIDQ265666FDOQ265666

Authors Ester Mariucci

Publication date 4 April 2016

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.3684

zbMATH Keywords

autoregressionasymptotic equivalencedeficiency distancediffusion processesnonparametric experiments

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Diffusion processes (60J60) Theory of statistical experiments (62B15)

Abstract: This paper establishes the global asymptotic equivalence, in the sense of the Le Cam $Delta$-distance, between scalar diffusion models with unknown drift function and small variance on the one side, and nonparametric autoregressive models on the other side. The time horizon $T$ is kept fixed and both the cases of discrete and continuous observation of the path are treated. We allow non constant diffusion coefficient, bounded but possibly tending to zero. The asymptotic equivalences are established by constructing explicit equivalence mappings.

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Cited in

(8)

• Asymptotic equivalence of estimating a Poisson intensity and a positive diffusion drift
• Asymptotic equivalence for a null recurrent diffusion
• Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise
• On statistical Calderón problems
• Le Cam theory on the comparison of statistical models
• The deficiency introduced by resampling
• The Le Cam distance between density estimation, Poisson processes and Gaussian white noise
• Asymptotic equivalence of nonparametric diffusion and Euler scheme experiments

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