On theorems of the Finetti type for continuous time stochastic processes
Tomas Björk, Björn J. E. Johansson · Scandinavian Journal of Statistics · 1993
Most statistical models used in practice admit a data reduction by means of a sufficient statistic. This paper concerns the problem of characterizing explicitly those models that are compatible with a certain choice of data reduction. We suggest a general method for establishing such results when a stochastic process in continuous time is observed. We give examples both from diffusion and counting processes and discuss some implications for statistical inference.