Method of moments estimators and multi-step MLE for Poisson processes

DOI10.3103/S1068362318040064zbMATH Open1404.62025arXiv1806.06378OpenAlexW2964331365MaRDI QIDQ1616201FDOQ1616201

Authors: A. A. Gounoung, A. S. Dabye, Yu. A. Kutoyants 

Publication date: 1 November 2018

Published in: Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Abstract: We introduce two types of estimators of the finite-dimensional parameters in the case of observations of inhomogeneous Poisson processes. These are the estimators of the method of moments and multi-step MLE. It is shown that the estimators of the method of moments are consistent and asymptotically normal and the multi-step MLE are consistent and asymptotically efficient. The construction of multi-step MLE-process is done in two steps. First we construct a consistent estimator by the observations on some learning interval and then this estimator is used for construction of one-step and two-step MLEs. The main advantage of the proposed approach is its computational simplicity.

Full work available at URL: https://arxiv.org/abs/1806.06378

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zbMATH Keywords

asymptotic normalityconsistencyasymptotic efficiencyinhomogeneous Poisson processmethod of moments estimatormulti-step MLE

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

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Cited In (9)

• Tukey's M-estimator of the Poisson parameter with a special focus on small means
• Quasi-likelihood analysis and its applications
• On parameter estimation of hidden ergodic Ornstein-Uhlenbeck process
• On multi-step MLE-process for Markov sequences
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• One-step closed-form estimator for generalized linear model with categorical explanatory variables
• Non asymptotic expansions of the MME in the case of Poisson observations
• Fast and asymptotically efficient estimation in the Hawkes processes

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