ABSTRACT
In the previous chapter we have considered models having densities with respect to the counting measure. In this section we will consider the case of continuous random variables. Let G represent the class of all distributions having densities with respect to the Lebesgue measure. We will assume that the true, data generating distribution G and the model family F = {Fθ : θ ∈ Θ ⊆ Rp} belong to G. Suppose that G and Fθ have densities g and fθ with respect to the Lebesgue measure.
