IDEAS home Printed from https://ideas.repec.org/a/bpj/strimo/v21y2003i3-2003p219-260n3.html
   My bibliography  Save this article

Approximations and limit theorems for likelihood ratio processes in the binary case

Author

Listed:
  • Gushchin A. A.
  • Valkeila Esko

Abstract

We study the asymptotic properties of the likelihood ratio processes for a sequence of binary filtered experiments. First we prove approximation results for the log-likelihood ratio processes and then apply them to obtain weak limit theorems. Here the limiting process is the stochastic exponential of a continuous martingale. Our results extend the corresponding results in the well-known monograph of Jacod and Shiryaev [16, Chapter X]. It turns out that the main results are valid for nonnegative supermartingales, too.

Suggested Citation

  • Gushchin A. A. & Valkeila Esko, 2003. "Approximations and limit theorems for likelihood ratio processes in the binary case," Statistics & Risk Modeling, De Gruyter, vol. 21(3/2003), pages 219-260, March.
    • Handle: RePEc:bpj:strimo:v:21:y:2003:i:3/2003:p:219-260:n:3
    DOI: 10.1524/stnd.21.3.219.23429
    as

    Download full text from publisher

    File URL: https://doi.org/10.1524/stnd.21.3.219.23429
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1524/stnd.21.3.219.23429?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Alexander Gushchin & Nino Kordzakhia & Alexander Novikov, 2018. "Translation invariant statistical experiments with independent increments," Statistical Inference for Stochastic Processes, Springer, vol. 21(2), pages 363-383, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:strimo:v:21:y:2003:i:3/2003:p:219-260:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.