Maximum likelihood estimation in the multiplicative intensity model via sieves

DOI10.1214/aos/1176350356zbMath0628.62086MaRDI QIDQ1093292

Alan F. Karr

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350356

zbMATH Keywords

local asymptotic normality; central limit theorem; maximum likelihood estimators; sieve estimators; method of sieves; strong and weak consistency; multiplicative intensity process; martingale estimators; Martingale limit theorems; unbounded log-likelihood functions

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62E20: Asymptotic distribution theory in statistics

60F05: Central limit and other weak theorems

62M09: Non-Markovian processes: estimation

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

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