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150325s1994 xx |||||o 00| ||eng c |
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|a (DE-627)JST07778796X
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|a (JST)4616327
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|a DE-627
|b ger
|c DE-627
|e rakwb
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|a eng
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1 |
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|a Küchler, Uwe
|e verfasserin
|4 aut
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|a Exponential Families of Stochastic Processes with Time-Continuous Likelihood Functions
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|c 1994
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|a Text
|b txt
|2 rdacontent
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|a Computermedien
|b c
|2 rdamedia
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|a Online-Ressource
|b cr
|2 rdacarrier
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|a 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 the same under all probability measures in the family and the drift depends linearly on a, possibly multidimensional, parameter function. A parametrization exists for which the log-likelihood function is a quadratic form in the parameter. The derived structure of these models is utilized to show that they have nice statistical properties. Exponential families of stochastic processes that are not time-homogeneous need not be of this type. Several examples are considered.
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|a Copyright 1994 Board of the Foundation of the Scandinavian Journal of Statistics
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|a diffusion processes
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|a Hellinger processes
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|a information
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| 650 |
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|a likelihood theory
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| 650 |
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|a local asymptotic mixed normality
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| 650 |
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|a local characteristics
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| 650 |
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|a maximum likelihood estimation
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| 650 |
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|a natural exponential family
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| 650 |
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|a semimartingales
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| 650 |
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|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
|x Stochastic processes
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
|x Stochastic processes
|x Martingales
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| 650 |
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4 |
|a Behavioral sciences
|x Sociology
|x Human societies
|x Social institutions
|x Families
|x Family structure
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
|x Applied statistics
|x Statistical models
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Probabilities
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| 650 |
|
4 |
|a Mathematics
|x Mathematical values
|x Mathematical variables
|x Mathematical independent variables
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| 650 |
|
4 |
|a Mathematics
|x Applied mathematics
|x Analytics
|x Analytical estimating
|x Maximum likelihood estimation
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| 650 |
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4 |
|a Mathematics
|x Pure mathematics
|x Probability theory
|x Random variables
|x Stochastic processes
|x Ornstein Uhlenbeck process
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| 650 |
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4 |
|a Mathematics
|x Applied mathematics
|x Statistics
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| 650 |
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4 |
|a Mathematics
|x Mathematical expressions
|x Mathematical inequalities
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| 655 |
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|a research-article
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1 |
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|a Sørensen, Michael
|e verfasserin
|4 aut
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| 773 |
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|i Enthalten in
|t Scandinavian Journal of Statistics
|d Blackwell Publishers, 1974
|g 21(1994), 4, Seite 421-431
|w (DE-627)266018297
|w (DE-600)1466951-1
|x 14679469
|7 nnns
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| 773 |
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|g volume:21
|g year:1994
|g number:4
|g pages:421-431
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|u https://www.jstor.org/stable/4616327
|3 Volltext
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|d 21
|j 1994
|e 4
|h 421-431
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