Absolute continuity of Poisson random fields (Q1173971): Difference between revisions

Two Poisson measures \(\pi_ \lambda\) and \(\pi_ \rho\) on a locally compact Hausdorff space \(R\) with intensity measures \(\lambda\) and \(\rho\), respectively, are considered. Necessary and sufficient conditions for the equivalence of the corresponding probability measures and the related formula for the Hellinger distance \(d(\cdot,\cdot)\) are obtained. Remark that this result first was proved by \textit{F. Liese} [Math. Nachr. 70, 183-196 (1975; Zbl 0339.60052)]. The theorem is applied to define the Fisher information as a natural Riemannian metric for the infinite- dimensional statistical model \[ P_{s_ n}(\lambda)=\{\pi_ \rho:d(\lambda,\rho)<\infty\}. \]