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Comparison of location models for stochastic processes
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  • Published: March 1992

Comparison of location models for stochastic processes

  • Harald Luschgy1 

Probability Theory and Related Fields volume 93, pages 39–66 (1992)Cite this article

Summary

Let\(\mathfrak{E}\) (Q) be the statistical experiment based on the observation of an unknown function in the presence of an additive noise process with distributionQ. The (possible) loss of information whenQ is replaced by some other noise distributionP is measured by the deficiency of\(\mathfrak{E}\) (P) relative to\(\mathfrak{E}\) (Q). This deficiency and its relation to the variational distance ofP andQ are studied mainly for Gaussian noise processes. Gaussian diffusion processes and special set-indexed processes are treated in detail.

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Authors and Affiliations

  1. Institut für Mathematische Statistik, Universität Münster, Einsteinstrasse 62, W-4400, Münster, Federal Republic of Germany

    Harald Luschgy

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  1. Harald Luschgy
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Research supported by a Heisenberg grant of the Deutsche Forschungsgemeinschaft

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Luschgy, H. Comparison of location models for stochastic processes. Probab. Th. Rel. Fields 93, 39–66 (1992). https://doi.org/10.1007/BF01195387

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  • Received: 25 January 1991

  • Revised: 13 December 1991

  • Issue Date: March 1992

  • DOI: https://doi.org/10.1007/BF01195387

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Mathematics Subject Classifications (1980)

  • 62 B 15
  • 60 G 15
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