Differentiablity of point process models and asymptotic efficiency of differentiable functionals

DOI10.1080/02331888308802387MaRDI QIDQ4324710zbMATH OpenOpenAlexFDO

Authors R. Holtrode, Ludger Rüschendorf

Publication date 28 February 1995

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888308802387

zbMATH Keywords

asymptotically efficient estimatorsdifferentiable intensitiesgeneral LAN modelsHadamard differentiability techniquesL2-differentiabilitymultiplicative intensitiesNelson-Aalen estimator

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Inference from stochastic processes (62M99)

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Cites work

• Asymptotic optimality of the product limit estimator
• Convergence of stochastic processes
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• scientific article; zbMATH DE number 176271 (Why is no real title available?)
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• scientific article; zbMATH DE number 3576395 (Why is no real title available?)
• Inference for random sampling processes
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Nonparametric inference for a family of counting processes
• Point processes and queues. Martingale dynamics
• Regularity, partial regularity, partial information process, for a filtered statistical model
• Smoothing counting process intensities by means of kernel functions

Cited in

(3)

• Optimality properties of empirical estimators for multivariate point processes
• On local odds and hazard rate models in survival analysis
• A journey from statistics and probability to risk theory. An interview with Ludger Rüschendorf

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