Translation invariant statistical experiments with independent increments

Alexander Gushchin, Nino Kordzakhia () and Alexander Novikov ()
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Nino Kordzakhia: Macquarie University
Alexander Novikov: University of Technology Sydney

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 2, No 7, 363-383

Abstract: Abstract We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.

Keywords: Comparison of experiments; Convergence of experiments; Experiment with independent increments; Hellinger integral; Lévy process; Lévy–Khintchine triplet; Pitman estimator; Stochastic exponential; Translation invariant experiment; 62B20; 62E20; 62F15; 62M99 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11203-018-9179-7

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