关于连续时间随机过程的德菲内蒂型定理

On theorems of the Finetti type for continuous time stochastic processes

Scandinavian Journal of Statistics · 1993
被引 2
ABS 3

中文导读

本文研究连续时间随机过程中与特定数据缩减相容的统计模型,提出一种刻画方法,并给出扩散过程和计数过程的例子,讨论对统计推断的意义。

Abstract

Most statistical models used in practice admit a data reduction by means of a sufficient statistic. This paper concerns the problem of characterizing explicitly those models that are compatible with a certain choice of data reduction. We suggest a general method for establishing such results when a stochastic process in continuous time is observed. We give examples both from diffusion and counting processes and discuss some implications for statistical inference.

统计学随机过程统计推断计量经济学应用数学