In article <[EMAIL PROTECTED]>,
=?iso-8859-1?Q?G=F6khan?= <[EMAIL PROTECTED]> wrote:
>Hi!
>In the book "Hidden Markov Models " of Elliot,Aggoun, Moore the
>Radon-Nikodym derivative is excessively used.
>Can someone point me to the literature where this theorem is well
>defined and explained.
>Thanks in advance.
>Gkhan
This is one of the most important theorems from measure
theory for statistics. The theorem states somewhat more
than that, under the conditions where it is possible, one
measure has a "derivative" with respect to another, which
is unique up to measure zero. One statistical application
is that, under appropriate conditions, there is a
likelihood ratio.
Any reasonable measure theory book will have this.
--
This address is for information only. I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399
[EMAIL PROTECTED] Phone: (765)494-6054 FAX: (765)494-0558
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