TY - JOUR
T1 - Information geometry of small diffusions
AU - Sei, Tomonari
AU - Komaki, Fumiyasu
PY - 2008/6/1
Y1 - 2008/6/1
N2 - 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.
AB - 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.
KW - Curved exponential family
KW - Information geometry
KW - Second-order asymptotic efficiency
KW - Small diffusion models
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U2 - 10.1007/s11203-007-9011-2
DO - 10.1007/s11203-007-9011-2
M3 - Article
AN - SCOPUS:43949125489
VL - 11
SP - 123
EP - 141
JO - Statistical Inference for Stochastic Processes
JF - Statistical Inference for Stochastic Processes
SN - 1387-0874
IS - 2
ER -