Information geometrical quantities such as metric tensors and connection coefficients for small diffusion models are obtained. Asymptotic properties of bias-corrected estimators for small diffusion models are investigated from the viewpoint of information geometry. Several results analogous to those for independent and identically distributed (i.i.d.) models are obtained by using the asymptotic normality of the statistics appearing in asymptotic expansions. In contrast to the asymptotic theory for i.i.d.models, the geometrical quantities depend on the magnitude of noise.
ASJC Scopus subject areas
- Statistics and Probability