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Seminar on Probability and Statistics Wednesday April 26 2006 Tokyo 128 4:20-5:30 pm
Asymptotic statistical equivalence for diffusion processes I
Arnak DALALYAN University Paris 6, France 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).
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