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math.PR2013
Statistical likelihood methods in finance
Arnold Janssen, Martin Tietje
It is known from previous work of the authors that non-negative arbitrage free price processes in finance can be described in terms of filtered likelihood processes of statistical…
math.ST2013★ 1 cited
The Convolution Theorem of Hajek and Le Cam - Revisited
Arnold Janssen, Vladimir Ostrovski
The present paper establishes convolution theorems for regular estimators when the limit experiment is non-Gaussian or of infnite dimension with sparse parameter space. Application…