Diffusion approximation for nonparametric autoregression

被引:0
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作者
Grigori Milstein
Michael Nussbaum
机构
[1] Weierstrass Institute,
[2] Mohrenstr. 39,undefined
[3] D-10117 Berlin,undefined
[4] Germany,undefined
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Mathematics Subject Classification (1991): Primary 62M10; Secondary 62G07; 62B15; 60J60; 60H10.;
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摘要
A nonparametric statistical model of small diffusion type is compared with its discretization by a stochastic Euler difference scheme. It is shown that the discrete and continuous models are asymptotically equivalent in the sense of Le Cam's deficiency distance for statistical experiments, when the discretization step decreases with the noise intensity ε.
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页码:535 / 543
页数:8
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