Information processes for semimartingale experiments

• 成果类型: Article
• 署名作者: Dzhaparidze, K; Spreij, P; Valkeila, E
• 署名单位: University of Amsterdam; University of Helsinki
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 2003
• 页码: 216-243
• 关键词: continuous probability-distributions; filtered statistical-models; Absolute continuity; hellinger processes; singularity

摘要

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 sernimartingale 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.