Histogram maximum likelihood estimator in the multiplicative intensity model

DOI10.1016/0304-4149(89)90108-7MaRDI QIDQ1118959zbMATH OpenOpenAlexFDO

Authors Jacek Leśkow, Roman Rózański

Publication date 1989

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(89)90108-7

zbMATH Keywords

asymptotic normalityConsistencymaximum likelihood estimatormethod of sievesmultiplicative intensity modelpoint processpsi-mixing

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

Review text

The maximum likelihood estimator of a deterministic function of the stochastic intensity of a point process is derived by the method of sieves. Consistency and asymptotic normality of this estimator are proved.

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Cited in

(11)

• Maximum likelihood estimation in the multiplicative intensity model via sieves
• A note on kernel smoothing of an estimator of a periodic function in the multiplicative intensity model
• A note on smoothed estimating functions
• The impact of stationarity assessment on studies of volatility and value-at-risk.
• A General Approach To Nonparametric Histogram Estimation
• Maximum Likelihood Estimation in the Multiplicative Intensity Model: A Survey
• Maximum likelihood estimation for stationary point processes
• scientific article; zbMATH DE number 4054850 (Why is no real title available?)
• scientific article; zbMATH DE number 639808 (Why is no real title available?)
• Convergence rates for the minimum complexity estimator of counting process intensities^∗
• scientific article; zbMATH DE number 1795920 (Why is no real title available?)

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