On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios

@article{Dachian2011OnCP,
  title={On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios},
  author={Serguei Dachian and Ilia Negri},
  journal={Statistical Inference for Stochastic Processes},
  year={2011},
  volume={14},
  pages={255-271}
}
  • S. Dachian, I. Negri
  • Published 16 July 2010
  • Mathematics
  • Statistical Inference for Stochastic Processes
Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In a previous paper of one of the authors it was established that one of these likelihood ratios, which is an exponential functional of a two-sided Poisson process driven by some parameter, can be approximated (for sufficiently small values of the parameter) by another one, which is an exponential functional of a two-sided Brownian motion… 
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