Intrinsically Weighted Means of Marked Point Processes

Authors Alexander Malinowski, M. Schlather, Zhengjun Zhang

Publication date 4 October 2012

Ergodic theorems, spectral theory, Markov operators (37A30) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: For a non-stationary or non-ergodic marked point process (MPP) on

R^{d}

, the definition of averages becomes ambiguous as the process might have a different stochastic behavior in different realizations (non-ergodicity) or in different areas of the observation window (non-stationarity). We investigate different definitions for the moments, including a new hierarchical definition for non-ergodic MPPs, and embed them into a family of weighted mean marks. We point out examples of application in which different weighted mean marks all have a sensible meaning. Further, asymptotic properties of the corresponding estimators are investigated as well as optimal weighting procedures.

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