Asymptotic statistical equivalence for ergodic diffusions: the multidimensional case

DOI10.1007/s00440-006-0502-7zbMath1105.62004arXivmath/0505053OpenAlexW2122223094MaRDI QIDQ866947

Markus Reiss, Arnak S. Dalalyan

Publication date: 14 February 2007

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505053

zbMATH Keywords

Gaussian shiftAsymptotic equivalenceLe Cam distanceErgodic diffusionHeteroskedastic regressionStatistical experiment

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Theory of statistical experiments (62B15) Markov processes: estimation; hidden Markov models (62M05)

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