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Seminar on Probability and Statistics
Seminar information archive ～04/17｜Next seminar｜Future seminars 04/18～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2006/04/26
16:20-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
Arnak DALALYAN (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes I (JAPANESE)
Arnak DALALYAN (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes I (JAPANESE)
[ Abstract ]
This is the first talk of a series of three talks devoted to the asymptotic statistical equivalence for diffusion processes. We will introduce the notion of Le Cam's distance between statistical experiments and will present its properties with some easy examples. Then we will show that the experiment of a discretely observed diffusion process with unknown drift is asymptoically equivalent to the experiment of continuously observed diffusion process provided that the step of discretisation is small enough (this result is due to Milstein and Nussbaum).
This is the first talk of a series of three talks devoted to the asymptotic statistical equivalence for diffusion processes. We will introduce the notion of Le Cam's distance between statistical experiments and will present its properties with some easy examples. Then we will show that the experiment of a discretely observed diffusion process with unknown drift is asymptoically equivalent to the experiment of continuously observed diffusion process provided that the step of discretisation is small enough (this result is due to Milstein and Nussbaum).
