Large deviation probabilities in estimation of Poisson random measures

DOI10.1016/S0304-4149(98)00005-2MaRDI QIDQ1805780zbMATH OpenFDO

Authors Danielle Florens, Huyên Pham

Publication date 18 November 1999

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

Full work available at URL https://doi.org/10.1016/S0304-4149(98)00005-2

zbMATH Keywords

large deviations maximum likelihood estimator Poisson random measures

Mathematics Subject Classification ID

Large deviations (60F10)

Review text

The paper deals with a homogeneous Poisson random measure \(N\) on \(R_+\times E\), defined on a filtered probability space, where \(E\) is a Polish space. The intensity measure \(q\) of \(N\) is given by \(q(dt, dx) = \nu (dx)dt\), where \(\nu \) is a \(\sigma \)-finite measure on \(E\). The problem is to estimate the Lévy measure \(\nu \) when \(N\) is observed over a fixed time interval \([0,T]\). The authors investigate the exponential rate of parametric estimators of \(\nu \) with regard to the probabilities of large deviations. Following the approach of \textit{R. R. Bahadur, S. L. Zabell} and \textit{J. C. Gupta} [in: Asymptotic theory of statistical tests and estimation, 33-64 (1980; Zbl 0601.62037)], they state a lower bound for an asymptotic \(T\rightarrow \infty \). The main goal of this paper is to provide an upper bound and a large deviation principle (LDP) for a maximum likelihood estimator (MLE). Since in general a MLE cannot be explicitly expressed in function of \(N\) but only as an implicit solution of the likelihood equation, an implicit contraction principle is stated and applied to derive from a LDP for \(N\), a LDP for a MLE, and to identify the rate function.

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