The efficiency criteria problem for stochastic processes

Paul D. Feigin

Stochastic Processes and their Applications, 1978, vol. 6, issue 2, 115-127

Abstract: This paper is concerned with the problem of finding a suitable (asymptotic) efficiency criterion for inference concerning parameters of stochastic processes. Special attention is aid to conditional exponential families of stochastic processes and to three tests based on the maximum likelihood estimate as well as to the likelihood ratio test. A contiguity calculation is used to show that a previously suggested criterion is inadequate and itself provides a partial solution to the problem. A heuristic argument is also put forward to support a proposition implying the optimality of the maximum likelihood estimate in a certain sense. Two examples which illustrate the theory are discussed.

Date: 1978
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