Exakte SchÄtzer und Konsistente SchÄtzerfolgen

Summary The paper deals with estimates of probability measures (=p-measures) determined from a countable number of independent realizations in a complete separable metric space X. Using an idea of Doob it is shown that the martingale method is applicable for suitable subfamilies , the set of all p-measures on the Borel subsets of X, to establish a correspondence between exact estimates a. e. for and a sequence of estimates which is strongly consistent a. e. for with respect to an arbitrary prior p-measure.