Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (1496 kB)
References:
PDF
HTML
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
\Bibitem{Zhd08}
\by D.~A.~Zhdanov
\paper Filtered Arithmetic Mean Measure and Its Applications
\jour Teor. Veroyatnost. i Primenen.
\yr 2008
\vol 53
\issue 2
\pages 354--364
\mathnet{http://mi.mathnet.ru/tvp2416}
\crossref{https://doi.org/10.4213/tvp2416}
\zmath{https://zbmath.org/?q=an:05701620}
\transl
\jour Theory Probab. Appl.
\yr 2009
\vol 53
\issue 2
\pages 368--379
\crossref{https://doi.org/10.1137/S0040585X97983596}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000267617600018}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-67249157029}
Linking options:
  • https://www.mathnet.ru/eng/tvp2416
  • https://doi.org/10.4213/tvp2416
  • https://www.mathnet.ru/eng/tvp/v53/i2/p354
    • Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
    Statistics & downloads:
    Abstract page:317
    Full-text PDF :160
    References:70
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024