On the Behavior of the Likelihood Ratio of Semimartingales

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1985 English Publisher:Society for Industrial & Applied Mathematics (SIAM)Journal:Theory of Probability & Its Applications, volume 29, pages 452-464 (issn: 0040-585X, eissn: 1095-7219,

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Authors: Taraskin, A. F.;

doi: 10.1137/1129060

On the Behavior of the Likelihood Ratio of Semimartingales

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Abstract

The behaviour of the likelihood ratio for the observations, which are semimartingales, when the time of observation tends to \(\infty\) is investigated. Conditions for locally asymptotically infinitely divisibility which generalises the notion of local asymptotic normality, are obtained.

Keywords

likelihood ratio, Generalizations of martingales, asymptotically infinitely divisibility, Foundations and philosophical topics in statistics, local asymptotic normality

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