Curved exponential families of stochastic processes and their envelope families

DOI10.1007/BF00049289zbMATH Open0857.62010OpenAlexW1537691643MaRDI QIDQ1817408FDOQ1817408

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

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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

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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

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