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An application of the minimum discrimination information estimate to compute log-likelihood ratios
Published online by Cambridge University Press: 14 July 2016
Abstract
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.
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- Short Communications
- Information
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- Copyright © Applied Probability Trust 1973