Diffusion approximation for nonparametric autoregression |
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Authors: | Grigori Milstein Michael Nussbaum |
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Affiliation: | (1) Weierstrass Institute, Mohrenstr. 39, D-10117 Berlin, Germany, DE |
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Abstract: | 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. Received: 12 April 1996 / Revised version: 29 October 1997 |
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Keywords: | Mathematics Subject Classification (1991): Primary 62M10 Secondary 62G07 62B15 60J60 60H10. |
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