Exponential families of stochastic processes and Lévy processes

DOI10.1016/0378-3758(94)90206-2MaRDI QIDQ1330193zbMATH OpenOpenAlexFDO

Authors Uwe Küchler, Michael Sørensen

Publication date 5 January 1997

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(94)90206-2

zbMATH Keywords

counting processesLévy characteristicsmaximum likelihood estimationprocesses with independent incrementsreciprocal exponential familysemimartingalesstochastic time transformation

Mathematics Subject Classification ID

Markov processes (60J99) Inference from stochastic processes (62M99)

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Cited in

(8)

• On information inequalities in sequential estimation for stochastic processes
• On exponential families of Markov processes
• Curved exponential families of stochastic processes and their envelope families
• Stationary exponential families
• scientific article; zbMATH DE number 720754 (Why is no real title available?)
• Stitching pairs of Lévy processes into harnesses
• Rényi Statistics in Directed Families of Exponential Experiments*
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach

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