On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
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Publication:644961
DOI10.1007/s11203-011-9059-xzbMath1225.62133arXiv1007.2758MaRDI QIDQ644961
Publication date: 7 November 2011
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.2758
asymptotic relative efficiency; maximum likelihood estimator; limiting distribution; compound Poisson process; Bayesian estimators; limiting mean squared error; non-regularity
60F05: Central limit and other weak theorems
62F99: Parametric inference
62M99: Inference from stochastic processes
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