Conditional Exponential Families and a Representation Theorem for Asympotic Inference
The Annals of Statistics · 1981 · Volume 9 · Issue 3
Abstract
Conditional exponential families of Markov processes are defined and a representation of the score function martingale is established for the important conditionally additive case. This result unifies those obtained separately for different examples and provides the key to asymptotic normality results for the maximum likelihood estimate.
Keywords
60J30, 62M05, Additive processes, Conditionally additive exponential family, nonergodic stochastic processes
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