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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

E. L. Melnick  and
S. Kullback
E. L. Melnick
Affiliation:
New York University
S. Kullback*
Affiliation:
The George Washington University
*
*Supported in part by the Air Force Office of Scientific Research, Office of Aerospace Research, United States Air Force, under Grant AFOSR-68–1513.
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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.

Keywords

MINIMUM DISCRIMINATION INFORMATION ESTIMATEHYPOTHESIS TESTINGTESTING MEAN VALUE FUNCTIONSCOMPUTE LOG-LIKELIHOOD RATIO
Type
Short Communications
Information
Journal of Applied Probability , Volume 10 , Issue 2 , June 1973 , pp. 469 - 474
Copyright
Copyright © Applied Probability Trust 1973 

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References

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