Translation invariant statistical experiments with independent increments

Translation invariant statistical experiments with independent increments

We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in t...

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Veröffentlicht in:Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems 2018-07, Vol.21 (2), p.363-383
Hauptverfasser: Gushchin, Alexander, Kordzakhia, Nino, Novikov, Alexander
Format: Artikel
Sprache:eng
Schlagworte:
Experiments
Invariants
Mathematics
Mathematics and Statistics
Probability Theory and Stochastic Processes
Statistical Theory and Methods
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Zusammenfassung:We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.
ISSN:1387-0874
1572-9311
DOI:10.1007/s11203-018-9179-7