Exponential models, brownian motion, and independence

DOI10.2307/3314728zbMath0677.62010OpenAlexW2001461853MaRDI QIDQ3833411

No author found.

Publication date: 1988

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3314728

zbMATH Keywords

steepnessindependenceexponential distributionWiener processBrownian motiongamma distributioninverse-Gaussian distributionchi-squaredaffine dual foliationsreproductive exponential modelsparallel foliation

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Parametric inference (62F99) Characterization and structure theory of statistical distributions (62E10)

Related Items

Euler scheme for reflected stochastic differential equations, A Hausman test for Brownian motion, Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon, An extension of Seshadri's identities for Brownian motion

Cites Work

• Exponential models with affine dual foliations
• Reproductive exponential families
• An exponential subfamily which admits UMPU tests based on a single test statistic
• Natural exponential families with quadratic variance functions
• The joint density of the maximum and its location for a Wiener process with drift