Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise

DOI10.1051/ps/2015005zbMath1331.62058arXiv1405.0480OpenAlexW2030275976MaRDI QIDQ2786493

Ester Mariucci

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.0480

zbMATH Keywords

Lévy processeswhite noiseadditive processesasymptotic equivalencenonparametric experimentsLe Cam distance

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of nonparametric inference (62G20) Theory of statistical experiments (62B15) Minimax procedures in statistical decision theory (62C20)

Related Items (3)

Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case ⋮ Asymptotic equivalence for pure jump Lévy processes with unknown Lévy density and Gaussian white noise ⋮ Le cam theory on the comparison of statistical models

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