An application of the minimum discrimination information estimate to compute log-likelihood ratios
Keyword(s):
The Mean
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In this paper the minimum discrimination information estimate is used to compute the log-likelihood ratio or logarithm of the Radon-Nikodym derivative In (dP1/dP2) when the stochastic process {x(t), t∈T) has either the probability measure P1 or P2. One example tests the mean value function of Gaussian processes. The other tests the mean value function of a continuous time Poisson process.
2001 ◽
Vol 56
(6)
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pp. 521-525
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1991 ◽
Vol 11
(2)
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pp. 165-177
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