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Teoriya Veroyatnostei i ee Primeneniya, 2008, Volume 53, Issue 2, Pages 354–364
DOI: https://doi.org/10.4213/tvp2416 (Mi tvp2416) 		 
Short Communications

Filtered Arithmetic Mean Measure and Its Applications

D. A. Zhdanov

Steklov Mathematical Institute, Russian Academy of Sciences
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DOI: https://doi.org/10.4213/tvp2416
Abstract: We consider fixed probability measures on a filtered space. We construct a new measure having the following property: the predictable characteristics of any semimartingale with respect to this measure are computed as the arithmetic mean of predictable characteristics with respect to initial probability measures. We present as an application of the measure a computable minimax risk estimation in Fano's lemma.
Keywords: triplet of predictable characteristics, Hellinger process, Kullback-Leibler process, Kullback–Leibler information, Fano's lemma.
Received: 21.02.2008
English version:
Theory of Probability and its Applications, 2009, Volume 53, Issue 2, Pages 368–379
DOI: https://doi.org/10.1137/S0040585X97983596
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: D. A. Zhdanov, “Filtered Arithmetic Mean Measure and Its Applications”, Teor. Veroyatnost. i Primenen., 53:2 (2008), 354–364; Theory Probab. Appl., 53:2 (2009), 368–379
Citation in format AMSBIB
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