On Efficiency and Exponential Families in Stochastic Process Estimation
On Efficiency and Exponential Families in Stochastic Process Estimation
复制标题
随机过程估计中的效率和指数族
DOI：
10.1007/978-94-010-1842-5_18
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发表时间：
1975
期刊：
影响因子：
--
通讯作者：
P. Feigin
中科院分区：
文献类型：
--
作者：
C. Heyde;P. Feigin
提出了随机过程估计的效率的一般定义，并探讨了它的一些分支。在定义中特别重要的是形式的衍生物的对数的可能性。问题的最简单的可能形式，这导致讨论的概念，充分性和指数的家庭，后者在马尔可夫过程的背景下。本文最后列举了几个例证。
A general definition of efficiency for stochastic process estimation is proposed and some of its ramifications are explored. Of particular importance in the definition is the form of the derivative of the logarithm of the likelihood. The question of the simplest possible form for this leads on to a discussion of extensions of the concepts of sufficiency and exponential families, the latter in a Markov process context. The paper concludes with several illustrative examples.