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Noncurved exponential families associated with observations over finite state Markov chains. (English) Zbl 0798.62096

Summary: We show that, contrary to earlier claims, for each ergodic and homogeneous finite-state Markov chain with either discrete or continuous time-parameter there are stopping times which have the property that they reduce the corresponding curved exponential families to noncurved exponential ones.

MSC:

62M99 Inference from stochastic processes
60G40 Stopping times; optimal stopping problems; gambling theory
60J10 Markov chains (discrete-time Markov processes on discrete state spaces)
60J27 Continuous-time Markov processes on discrete state spaces