On a singularity occurring in a self-correcting point process model

DOI10.1007/BF00773346MaRDI QIDQ1335344zbMATH OpenFDO

Authors Harald Luschgy

Publication date 1 November 1994

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00773346

zbMATH Keywords

boundary pointlocally asymptotically Brownian functionallocally asymptotically quadratic modelML-estimatornonnormal limiting distributionself-correcting point process model

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic properties of parametric estimators (62F12)

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• Local asymptotic mixed normality for semimartingale experiments
• On the strong approximation of the distributions of estimators in linear stochastic models, I and II: Stationary and explosive AR models
• Parameter estimation for the simple self-correcting point process

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