Université Paris 6
Pierre et Marie Curie | Université Paris 7
Denis Diderot | |

CNRS U.M.R. 7599
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``Probabilités et Modèles Aléatoires''
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**Auteur(s): **

**Code(s) de Classification MSC:**

- 62B15 Theory of statistical experiments
- 62C05 General considerations
- 62G20 Asymptotic properties
- 62M99 None of the above, but in this section

**Résumé:** For scalar diffusion models with unknown drift function
asymptotic equivalence in the sense of Le Cam's deficiency between
statistical experiments is considered for long-time asymptotics. A
local asymptotic equivalence result
is established with an accompanying sequence of simple Gaussian
shift experiments. Corresponding globally asymptotically equivalent
experiments are obtained as compound experiments. The results are
extended in several directions including time discretisation.

**Mots Clés:** *Asymptotic equivalence ; statistical experiment ; Le Cam
distance ; ergodic diffusion ; mixed Gaussian white noise*

**Date:** 2004-03-18

**Prépublication numéro:** *PMA-895*