Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach

DOI10.2307/1403382MaRDI QIDQ5753300zbMATH OpenOpenAlexFDO

Authors Uwe Küchler, Michael Sørensen

Publication date 1989

Published in International Statistical Review / Revue Internationale de Statistique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1403382

zbMATH Keywords

counting processesdiffusion-type processesexponential families of stochastic processeslikelihood functionlocal characteristicsMarkov chainsprocesses with independent incrementsscore functions

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

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• Curved exponential families of stochastic processes and their envelope families
• Conditions equivalent to consistency of approximate MLE's for stochastic processes
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• Information geometry of reversible Markov chains
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