We consider the problem of determining absolute continuity, and the distribution of the likelihood ratio (Radon-Nikodym derivative) of the measures induced on function space by two infinitely divisible stochastic processes. The results are applied to linear processes, which are shown to be infinitely divisible.
Publié le : 1984-06-14
Classification:
Linear processes,
infinitely divisible processes,
likelihood ratio,
60G30,
60G35
@article{1176346519,
author = {Brockett, Patrick L.},
title = {The Likelihood Ratio Detector for Non-Gaussian Infinitely Divisible, and Linear Stochastic Processes},
journal = {Ann. Statist.},
volume = {12},
number = {1},
year = {1984},
pages = { 737-744},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346519}
}
Brockett, Patrick L. The Likelihood Ratio Detector for Non-Gaussian Infinitely Divisible, and Linear Stochastic Processes. Ann. Statist., Tome 12 (1984) no. 1, pp. 737-744. http://gdmltest.u-ga.fr/item/1176346519/