ASYMPTOTIC STATISTICAL EQUIVALENCE
FOR MULTIDIMENSIONAL ERGODIC DIFFUSIONS


Arnak DALALYAN
Univerité Pierre et Marie Curie
Paris, France

Markuss REISS
Humboldt University
Berlin, Germany


ABSTRACT

We consider the statistical model of ergodic $d$-dimensional diffusion with unknown drift $b$ assumed to be the gradient of a potential $V$. The observation is either high frequency discrete sample or a continuous record of a sample path. We show that under mild conditions this model is locally asymptotically equivalent in the sense of Le Cam's distance to a signal in Gaussian white noise model.



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