On Limiting Likelihood Ratio Processes of some Change-Point Type Statistical Models

@inproceedings{Dachian2009OnLL,
  title={On Limiting Likelihood Ratio Processes of some Change-Point Type Statistical Models},
  author={Sergu{\"e}ı Dachian},
  year={2009}
}
  • Serguëı Dachian
  • Published 2009
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In this paper we consider two such likelihood ratios. The first one is an exponential functional of a two-sided Poisson process driven by some parameter, while the second one is an exponential functional of a two-sided Brownian motion. We establish that for sufficiently small values of the parameter, the Poisson type likelihood ratio can be… CONTINUE READING

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