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Seminar on Probability and Statistics Wednesday May 10 2006 Tokyo 128 4:20-5:30 pm
Asymptotic statistical equivalence for diffusion processes II
Arnak DALALYAN University Paris 6, France 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.
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