Statistical Models for Birth and Death on a Flow: Local Absolute Continuity and Likelihood Ratio Processes

R. Höpfner and E. Löcherbach

Scandinavian Journal of Statistics, 1999, vol. 26, issue 1, 107-128

Abstract: ABSTRACT. We consider statistical models for birth and death on a flow. We give necessary and sufficient conditions for local absolute continuity between laws of such processes on a suitable canonical path space, and prove that likelihood ratio processes do have a very simple form. Key tools are criteria for local absolute continuity of laws of l‐point motions–for arbitrary l–on stochastic flows, under an assumption on the structure of infinitesimalcovariances.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scjsta:v:26:y:1999:i:1:p:107-128

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