Information geometry of small diffusions

Tomonari Sei, Fumiyasu Komaki

研究成果: Article査読

抄録

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.

本文言語English
ページ(範囲)123-141
ページ数19
ジャーナルStatistical Inference for Stochastic Processes
11
2
DOI
出版ステータスPublished - 2008 6 1

ASJC Scopus subject areas

  • Statistics and Probability

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