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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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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DOI: https://doi.org/10.1007/BF01195387
Mathematics Subject Classifications (1980)
- 62 B 15
- 60 G 15