181 reputation
9
bio website wergieluk.com
location Germany
age
visits member for 3 years, 11 months
seen Jul 1 at 19:44

Nov
14
awarded  Scholar
Nov
14
accepted Double exponential distribution is not an exponential family
Nov
14
answered Double exponential distribution is not an exponential family
Nov
14
comment Double exponential distribution is not an exponential family
@cardinal Thanks for your comments! I should have mentioned I'm interested in a special case with one-dimensional $\xi$ and $T$.
Nov
14
comment Double exponential distribution is not an exponential family
Actually my intention was to find a simple proof in case of one-parameter exponential family with restriction $\eta:\mathbb R \to \mathbb R$. Thanks!!
Nov
13
asked Double exponential distribution is not an exponential family
Nov
13
comment Change of measure for jump processes
@Gortaur : Notice that in my last comment I replaced the dot in $\lambda_.$ by $t$, and I mean some fixed $t\in\mathbb R_+$ here..
Nov
13
comment Change of measure for jump processes
@Gortaur: In the last line I mean $P(\lambda_t>1)=0$ for some $t$. Or, alternatively, we could simply consider the probability that the intensity is not constant at some point.
Nov
13
awarded  Editor
Nov
13
revised Change of measure for jump processes
Corrected a typo in the L_t formula
Nov
13
comment Change of measure for jump processes
The reference for this is P. Bremaud: Point Processes and Queues. Oh .. $X$ is actually $N$ under $P$ and the process with intensity $\mu$ under $\tilde P$. $T_n$ are jump times of $N_t$. And there is a typo in the first formula. It should be $1_{T_n \leq t}$.
Nov
13
asked Change of measure for jump processes
Mar
17
awarded  Supporter
Oct
30
comment Confidence band for Brownian Motion with uniformly distributed hitting position
The question is, how does $u$ look like? Does it exists for all values of alpha? If yes, is it unique?
Oct
29
awarded  Student
Oct
29
asked Confidence band for Brownian Motion with uniformly distributed hitting position
Oct
28
awarded  Teacher
Oct
28
answered combination of brownian motion