No label defined (Q4497358)

Let \(X\) be a semimartingale which is locally square integrable and admitting the canonical decompositions \(X=M+A\) and \(X=M'+A'\) with respect to measures \(P\) and \(P'\). Let \(\gamma\) be the density of \(A-A'\) with respect to \(C=(\langle M\rangle + \langle M'\rangle)\) in the Lebesgue decomposition. Then there is a version \(h\) of the Hellinger process \(h(1/2;P,P')\) such that \((1-\Delta h)^{-2}\cdot h\succeq (1/8)\gamma^2\cdot C\) \(P\)- and \(P'\)-a.s. This inequality is related with a generalization of the Cramér-Rao inequality to the case of filtered space. The author gives some applications to a continuous-time linear regression model as well as to a discrete-time autoregression model with martingale errors. For the entire collection see [Zbl 0939.00029].