We establish that the model generated by the observation of the path of a one-dimensional null recurrent diffusion, when the parameter is the compactly supported drift, is asymptotically equivalent to a mixed Gaussian white noise experiment as the observation time T → ∞. The approximation is given in the sense of Le Cam's deficiency ͉-distance over Sobolev balls of smoothness order β > ½.
Publié le : 2002-04-14
Classification:
deficiency distance,
diffusion processes,
mixed Gaussian white noise,
mixed normality,
nonparametric experiments
@article{1078866865,
author = {Delattre, Sylvain and Hoffmann, Marc},
title = {Asymptotic equivalence for a null recurrent diffusion},
journal = {Bernoulli},
volume = {8},
number = {2},
year = {2002},
pages = { 139-174},
language = {en},
url = {http://dml.mathdoc.fr/item/1078866865}
}
Delattre, Sylvain; Hoffmann, Marc. Asymptotic equivalence for a null recurrent diffusion. Bernoulli, Tome 8 (2002) no. 2, pp. 139-174. http://gdmltest.u-ga.fr/item/1078866865/