Translation invariant statistical experiments with independent increments

Alexander Gushchin, Nino Kordzakhia*, Alexander Novikov

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    1 Citation (Scopus)


    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
    Issue number2
    Publication statusPublished - 1 Jul 2018


    • 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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