Curved exponential families of stochastic processes and their envelope families

DOI10.1007/BF00049289MaRDI QIDQ1817408zbMATH OpenOpenAlexFDO

Authors Uwe Küchler, Michael Sørensen

Publication date 1 December 1996

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00049289

zbMATH Keywords

censored datagoodness-of-fit testOrnstein-Uhlenbeck processMarkov processesdiffusion processespure birth processenvelope familiesfinite sample exponential familiesfull exponential familiesGaussian autoregressions

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Markov processes: hypothesis testing (62M02) Characterization and structure theory of statistical distributions (62E10)

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Cites work

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• scientific article; zbMATH DE number 4115741 (Why is no real title available?)
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• Estimation in the birth process
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
• Exponential families of stochastic processes and Lévy processes
• On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
• On exponential families of Markov processes
• On the homogeneous birth-and-death process and its integral
• Statistical analysis of counting processes
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case

Cited in

(7)

• Markov chain Monte Carlo test of toric homogeneous Markov chains
• The mean radius of curvature of an exponential family
• Information geometry of small diffusions
• The First- and Second-Order Large-Deviation Efficiency for an Exponential Family and Certain Curved Exponential Models
• scientific article; zbMATH DE number 4100445 (Why is no real title available?)
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• On various definitions of the envelope of a random process

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