Hellinger integrals of diffusion processes

DOI10.1080/02331888608801912zbMath0598.60042OpenAlexW1982621246MaRDI QIDQ3732653

Friedrich Liese

Publication date: 1986

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888608801912

zbMATH Keywords

error estimationcontiguityHellinger integralcontinuity of induced measuresconvergence in variation distancehypothesis testing of diffusion processesRadon-Nikodým densities

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes (62M99) Diffusion processes (60J60) Non-Markovian processes: hypothesis testing (62M07) Continuity and singularity of induced measures (60G30)

Related Items

Optimal statistical decisions about some alternative financial models ⋮ Distances between transition probabilities of diffusions and applications to nonlinear Fokker-Planck-Kolmogorov equations ⋮ Estimates of distances between transition probabilities of diffusions ⋮ Unnamed Item ⋮ Comparison of location models for stochastic processes ⋮ Sticky couplings of multidimensional diffusions with different drifts ⋮ Unnamed Item

Cites Work

• On the f-divergence and singularity of probability measures
• Hellinger integrals of gaussian processes with independent increments
• Eine informationstheoretische Bedingung für die Äquivalenz unbegrenzt teilbarer Punktprozesse
• A Measure of Asymptotic Efficiency for Tests of a Hypothesis Based on the sum of Observations
• Decision Rules, Based on the Distance, for Problems of Fit, Two Samples, and Estimation