Maximum likelihood estimation for stationary point processes

DOI10.1073/pnas.83.3.541zbMath0593.62086OpenAlexW2077157975WikidataQ35587564 ScholiaQ35587564MaRDI QIDQ3723533

Pham Dinh Tuan, Madan Lal Puri

Publication date: 1986

Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1073/pnas.83.3.541

zbMATH Keywords

strong law of large numberscentral limit theoremstrong consistencypredictable processstochastic intensityApproximationsasymptotically normallog likelihoodnatural increasing processlikelihood function of a point process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Parametric inference (62F99) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Statistical inference for ergodic point processes and application to limit order book ⋮ Filtered likelihood for point processes

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