# 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} }

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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