Translation invariant statistical experiments with independent increments

Alexander Gushchin, Nino Kordzakhia*, Alexander Novikov

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)363-383
Number of pages21
JournalStatistical Inference for Stochastic Processes
Volume21
Issue number2
DOIs
Publication statusPublished - 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

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