Open Access
Translator Disclaimer
January 2003 Information processes for semimartingale experiments
Kacha Dzhaparidze, Peter Spreij, Esko Valkeila
Ann. Probab. 31(1): 216-243 (January 2003). DOI: 10.1214/aop/1046294310

Abstract

In this paper we give explicit representations for Kullback--Leibler information numbers between a priori and a posteriori distributions, when the observations come from a semimartingale. We assume that the distribution of the observed semimartingale is described in terms of the so-called triplet of predictable characteristics. We end by considering the corresponding notions in a model with a fractional noise.

Citation

Download Citation

Kacha Dzhaparidze. Peter Spreij. Esko Valkeila. "Information processes for semimartingale experiments." Ann. Probab. 31 (1) 216 - 243, January 2003. https://doi.org/10.1214/aop/1046294310

Information

Published: January 2003
First available in Project Euclid: 26 February 2003

zbMATH: 1020.60019
MathSciNet: MR1959792
Digital Object Identifier: 10.1214/aop/1046294310

Subjects:
Primary: 60G07 , 60H30 , 62B15 , 94A17

Keywords: fractional Brownian motion , Hellinger process , Kullback--Leibler information , posterior distribution , predictable characteristics , Semimartingales , stochastic calculus

Rights: Copyright © 2003 Institute of Mathematical Statistics

JOURNAL ARTICLE
28 PAGES


SHARE
Vol.31 • No. 1 • January 2003
Back to Top