Translation invariant statistical experiments with independent increments

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Journal Article
Statistical Inference for Stochastic Processes, 2018, 21 (2), pp. 363 - 383
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10.1007_s11203-018-9179-7.pdfPublished Version596.16 kB
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© 2018, Springer Science+Business Media B.V., part of Springer Nature. We provide a full description of the class of translation invariant experiments with independent increments. Necessary and sufficient conditions for the weak convergence and the comparison of experiments within this class are given. Finally, we prove exponential boundedness of Pitman estimators in these models.
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