| Université Paris 6 Pierre et Marie Curie | Université Paris 7 Denis Diderot | |
| CNRS U.M.R. 7599 | ||
| ``Probabilités et Modèles Aléatoires'' | ||
Auteur(s):
Code(s) de Classification MSC:
Résumé: We establish that the model generated by the observation of the path of a 1-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 $T \rightarrow \infty$. The approximation is given in the sense of Le Cam's deficiency $\Delta$-distance over Sobolev balls of smoothness order $\beta > \frac{1}{2}$.
Mots Clés: Nonparametric experiments ; deficiency distance ; diffusion
processes ; mixed Gaussian white noise ; mixed normality
Date: 2000-02-18
Prépublication numéro: PMA-567