Hellinger integrals of diffusion processes

DOI10.1080/02331888608801912MaRDI QIDQ3732653zbMATH OpenOpenAlexFDO

Authors Friedrich Liese

Publication date 1986

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888608801912

zbMATH Keywords

contiguitycontinuity of induced measuresconvergence in variation distanceerror estimationHellinger integralhypothesis testing of diffusion processesRadon-Nikodým densities

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Continuity and singularity of induced measures (60G30) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07) Inference from stochastic processes (62M99)

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Cites work

• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Decision Rules, Based on the Distance, for Problems of Fit, Two Samples, and Estimation
• Eine informationstheoretische Bedingung für die Äquivalenz unbegrenzt teilbarer Punktprozesse
• Hellinger integrals of gaussian processes with independent increments
• On the f-divergence and singularity of probability measures

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• Contiguity and LAN-property of sequences of Poisson processes.
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• On the variation distance for probability measures defined on a filtered space
• First integrals in the diffusion approximation scheme

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