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Seminar on Probability and Statistics
Seminar information archive ～04/23｜Next seminar｜Future seminars 04/24～
| Organizer(s) | Nakahiro Yoshida, Teppei Ogihara, Yuta Koike |
|---|
2006/05/10
16:20-17:30 Room #128 (Graduate School of Math. Sci. Bldg.)
Arnak DALALYAN (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes II
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/01.html
Arnak DALALYAN (Universite Paris 6, France)
Asymptotic statistical equivalence for diffusion processes II
[ Abstract ]
We consider the experiment of a continuously observed scalar diffusion process with unknown drift function. In the stationary case, we prove that this experment is locally asymptotically equivalent to a simple Gaussian white noise experiment. We also derive the rate of convergence of the Le Cam's distance and describe the Markov kernel attaining this rate of convergence. These results are obtained in collaboration with Markus Reiss.
[ Reference URL ]We consider the experiment of a continuously observed scalar diffusion process with unknown drift function. In the stationary case, we prove that this experment is locally asymptotically equivalent to a simple Gaussian white noise experiment. We also derive the rate of convergence of the Le Cam's distance and describe the Markov kernel attaining this rate of convergence. These results are obtained in collaboration with Markus Reiss.
https://www.ms.u-tokyo.ac.jp/~kengok/statseminar/2006/01.html
