On the Behavior of the Likelihood Ratio of Semimartingales

DOI10.1137/1129060zbMath0567.60051OpenAlexW2014022493MaRDI QIDQ3683287

A. F. Taraskin

Publication date: 1985

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1129060

zbMATH Keywords

likelihood ratiolocal asymptotic normalityasymptotically infinitely divisibility

Mathematics Subject Classification ID

Foundations and philosophical topics in statistics (62A01) Generalizations of martingales (60G48)

Related Items (4)

Stable convergence of the log-likelihood ratio to a mixture of infinitely divisible distributions ⋮ Asymptotic mixed normality and hellinger processes ⋮ Local asymptotic mixed normality for semimartingale experiments ⋮ Asymptotic properties of the likelihood ratio of independent observations

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