Translation invariant statistical experiments with independent increments

Alexander Gushchin; Nino Kordzakhia; Alexander Novikov

doi:10.1007/s11203-018-9179-7

Translation invariant statistical experiments with independent increments

Alexander Gushchin, Nino Kordzakhia^*, Alexander Novikov

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.

Original language	English
Pages (from-to)	363-383
Number of pages	21
Journal	Statistical Inference for Stochastic Processes
Volume	21
Issue number	2
DOIs	https://doi.org/10.1007/s11203-018-9179-7
Publication status	Published - 1 Jul 2018

Keywords

Comparison of experiments
Convergence of experiments
Experiment with independent increments
Hellinger integral
Lévy process
Lévy–Khintchine triplet
Pitman estimator
Stochastic exponential
Translation invariant experiment

Access to Document

10.1007/s11203-018-9179-7

Cite this

@article{97dab4746b1b460480cfb1a52ac51980,

title = "Translation invariant statistical experiments with independent increments",

abstract = "We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.",

keywords = "Comparison of experiments, Convergence of experiments, Experiment with independent increments, Hellinger integral, L{\'e}vy process, L{\'e}vy–Khintchine triplet, Pitman estimator, Stochastic exponential, Translation invariant experiment",

author = "Alexander Gushchin and Nino Kordzakhia and Alexander Novikov",

year = "2018",

month = jul,

day = "1",

doi = "10.1007/s11203-018-9179-7",

language = "English",

volume = "21",

pages = "363--383",

journal = "Statistical Inference for Stochastic Processes",

issn = "1387-0874",

publisher = "Springer, Springer Nature",

number = "2",

}

TY - JOUR

T1 - Translation invariant statistical experiments with independent increments

AU - Gushchin, Alexander

AU - Kordzakhia, Nino

AU - Novikov, Alexander

PY - 2018/7/1

Y1 - 2018/7/1

N2 - We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.

AB - We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.

KW - Comparison of experiments

KW - Convergence of experiments

KW - Experiment with independent increments

KW - Hellinger integral

KW - Lévy process

KW - Lévy–Khintchine triplet

KW - Pitman estimator

KW - Stochastic exponential

KW - Translation invariant experiment

UR - http://www.scopus.com/inward/record.url?scp=85042521691&partnerID=8YFLogxK

U2 - 10.1007/s11203-018-9179-7

DO - 10.1007/s11203-018-9179-7

M3 - Article

AN - SCOPUS:85042521691

SN - 1387-0874

VL - 21

SP - 363

EP - 383

JO - Statistical Inference for Stochastic Processes

JF - Statistical Inference for Stochastic Processes

IS - 2

ER -

Translation invariant statistical experiments with independent increments

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this