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Default Priors Based on Pseudo-Likelihoods for the Poisson-GPD Model Read chapter Read first chapter

2013 | OriginalPaper | Chapter

4. On Gaussian Compound Poisson Type Limiting Likelihood Ratio Process

Authors : Sergueï Dachian, Ilia Negri

Published in: Advances in Theoretical and Applied Statistics

Publisher: Springer Berlin Heidelberg

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Abstract

Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. Recently it was established that one of these likelihood ratios, which is an exponential functional of a two-sided Poisson process driven by some parameter, can be approximated (for sufficiently small values of the parameter) by another one, which is an exponential functional of a two-sided Brownian motion. In this chapter we consider yet another likelihood ratio, which is the exponent of a two-sided compound Poisson process driven by some parameter. We establish that the compound Poisson type likelihood ratio can also be approximated by the Brownian type one for sufficiently small values of the parameter. We equally discuss the asymptotics for large values of the parameter.

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Metadata
Title
On Gaussian Compound Poisson Type Limiting Likelihood Ratio Process
Authors
Sergueï Dachian
Ilia Negri
Copyright Year
2013
Publisher
Springer Berlin Heidelberg
Book
Advances in Theoretical and Applied Statistics

Print ISBN: 978-3-642-35587-5

Electronic ISBN: 978-3-642-35588-2

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-3-642-35588-2_4

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