Diusion approximation for nonparametric autoregression
نویسندگان
چکیده
A nonparametric statistical model of small diusion type is compared with its discretization by a stochastic Euler dierence scheme. It is shown that the discrete and continuous models are asymptotically equivalent in the sense of Le Cam's de®ciency distance for statistical experiments, when the discretization step decreases with the noise intensity . Mathematics Subject Classi®cation (1991): Primary 62M10; Secondary 62G07, 62B15, 60J60, 60H10.
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