Asymptotic Inference in Levy Processes of the Discontinuous Type
Akritas, Michael G. ; Johnson, Richard A.
Ann. Statist., Tome 9 (1981) no. 1, p. 604-614 / Harvested from Project Euclid
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We establish contiguity of certain families of probability measures indexed by $T$, as $T \rightarrow \infty$, for classes of stochastic processes with stationary, independent increments whose sample paths are discontinuous. Many important consequences pertaining to properties of tests and estimates then apply. A new expression for the Radon-Nikodym derivative of these processes is obtained.
Publié le : 1981-05-14
Classification:  Asymptotic inference,  stochastic process,  independent increments,  contiguity,  62M07,  62M09,  62G99 
@article{1176345464,
     author = {Akritas, Michael G. and Johnson, Richard A.},
     title = {Asymptotic Inference in Levy Processes of the Discontinuous Type},
     journal = {Ann. Statist.},
     volume = {9},
     number = {1},
     year = {1981},
     pages = { 604-614},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176345464}
}

Akritas, Michael G.; Johnson, Richard A. Asymptotic Inference in Levy Processes of the Discontinuous Type. Ann. Statist., Tome 9 (1981) no. 1, pp.  604-614. http://gdmltest.u-ga.fr/item/1176345464/