作者：Yang, GL
作者单位：University System of Maryland; University of Maryland College Park
作者：Genon-Catalot, V; Laredo, C; Nussbaum, M
作者单位：Universite Gustave-Eiffel; Universite Paris Saclay; INRAE; Cornell University
摘要：We consider a diffusion model of small variance type with positive drift density varying in a nonparametric set. We investigate Gaussian and Poisson approximations to this model in the sense of asymptotic equivalence of experiments. It is shown that observation of the diffusion process until its first hitting time of level one is a natural model for the purpose of inference on the drift density. The diffusion model can be discretized by the collection of level crossing times for a uniform grid...
