A proof of the ineffectiveness of likelihood inference on singular measures

This paper is devoted to showing that likelihood inference on a statistical model which consists of mutually singular probability measures may be ineffective when the supports of those measures intersect. The problem is examined in an abstract metric setting appropriate for statistical inference about stochastic procesess. An important example is discussed: the estimation of the (constant) diffusion term of a stochastic differential equation.

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Year of publication:	1984
Authors:	Piccioni, Mauro
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 2.1984, 2, p. 63-65
Publisher:	Elsevier
Subject:	likelihood ratio singular measures

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259162