Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

DOI10.1007/S00440-006-0502-7zbMATH Open1105.62004arXivmath/0505053OpenAlexW2122223094MaRDI QIDQ866947FDOQ866947

Authors: Arnak S. Dalalyan, Markus Reiß 

Publication date: 14 February 2007

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

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.

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

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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)

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Cited In (39)

• Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients
• Nonparametric drift estimation for i.i.d. paths of stochastic differential equations
• Exact adaptive pointwise drift estimation for multidimensional ergodic diffusions
• Nonparametric Bayesian inference for reversible multidimensional diffusions
• Minimal conditions for consistent variable selection in high dimension
• Asymptotic equivalence of discretely observed diffusion processes and their Euler scheme: small variance case
• 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
• Penalized nonparametric drift estimation for a multidimensional diffusion process
• Donsker theorems for occupation measures of multi-dimensional periodic diffusions
• Adaptive estimation for degenerate diffusion processes
• Level set and drift estimation from a reflected Brownian motion with drift
• On the convergence rate of potentials of Brenier maps
• Asymptotic nonequivalence of density estimation and Gaussian white noise for small densities
• 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
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• Le Cam theory on the comparison of statistical models
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• Inference for ergodic McKean-Vlasov stochastic differential equations with polynomial interactions
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