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

DOI10.3103/S1068362318040064MaRDI QIDQ1616201zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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• Quasi-likelihood analysis and its applications
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