The contiguity of probability measures and asymptotic inference in continuous time stationary diffusions and Gaussian processes with known covariance

Michael G. Akritas and Richard A. Johnson

Journal of Multivariate Analysis, 1982, vol. 12, issue 1, 123-135

Abstract: We establish contiguity of families of probability measures indexed by T, as T --> [infinity], for classes of continuous time stochastic processes which are either stationary diffusions or Gaussian processes with known covariance. In most cases, and in all the examples we consider in Section 4, the covariance is completely determined by observing the process continuously over any finite interval of time. Many important consequences pertaining to properties of tests and estimators, outlined in Section 5, will then apply.

Keywords: Probability; measures; Gaussian; processes; contiguity; asymptotic; inference (search for similar items in EconPapers)
Date: 1982
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