Curved exponential families of stochastic processes and their envelope families

DOI10.1007/BF00049289zbMATH Open0857.62010OpenAlexW1537691643MaRDI QIDQ1817408FDOQ1817408

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

Recommendations

• scientific article; zbMATH DE number 4082703
• scientific article
• Exponential families of stochastic processes and Lévy processes
• Exponential families of stochastic processes
• Publication:3484165
• On the curved exponential family in the stochastic approximation expectation maximization algorithm
• Saddlepoint approximations for curved exponential families
• A comment on a regularity condition in a curved exponential family

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Limiting Distribution of the Serial Correlation Coefficient in the Explosive Case
• On exponential families of Markov processes
• On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
• Statistical analysis of counting processes
• Estimation in the birth process
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• On the homogeneous birth-and-death process and its integral
• Title not available (Why is that?)
• Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
• Exponential families of stochastic processes and Lévy processes
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (7)

• Markov chain Monte Carlo test of toric homogeneous Markov chains
• Title not available (Why is that?)
• On various definitions of the envelope of a random process
• Title not available (Why is that?)
• Information geometry of small diffusions
• The First- and Second-Order Large-Deviation Efficiency for an Exponential Family and Certain Curved Exponential Models
• The mean radius of curvature of an exponential family

This page was built for publication: Curved exponential families of stochastic processes and their envelope families

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1817408)