Exponential Families of Stochastic Processes with Time-Continuous Likelihood Functions
The structure of exponential families of stochastic processes with a time-continuous likelihood function is investigated by means of semimartingale theory. The time-homogeneous exponential families of this kind are characterized as those for which the jump mechanism and the diffusion coefficient are...
| Veröffentlicht in: | Scandinavian Journal of Statistics. - Blackwell Publishers, 1974. - 21(1994), 4, Seite 421-431 |
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| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
1994
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| Zugriff auf das übergeordnete Werk: | Scandinavian Journal of Statistics |
| Schlagworte: | diffusion processes Hellinger processes information likelihood theory local asymptotic mixed normality local characteristics maximum likelihood estimation natural exponential family semimartingales Mathematics |
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