Local asymptotic normality of a sequential model for marked point processes and its applications

DOI10.1007/BF00773457zbMath0833.62076MaRDI QIDQ1901387

Yoichi Nishiyama

Publication date: 8 November 1995

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

zbMATH Keywords

asymptotic normalitylocal asymptotic normalitymarked point processesstopping rulescompound Poisson processesasymptotically uniformly most powerful testscontinuous time Markov branching processessequential maximum likelihood estimatorstest for criticality

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: estimation; hidden Markov models (62M05) Sequential estimation (62L12) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (5)

Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Consistent parametric estimation of the intensity of a spatial-temporal point process ⋮ Estimation of the expected discounted penalty function for Lévy insurance risks ⋮ Functional estimation for Lévy measures of semimartingales with Poissonian jumps ⋮ Local asymptotic normality of truncated empirical processes

Cites Work

• Asymptotic optimal inference for non-ergodic models
• Random time change and an integral representation for marked stopping times
• Maximum likelihood estimation in the birth-and-death process
• Sequential Inferences with Prescribed Accuracy for Semimartingales
• REMARKS ON OPTIMAL INFERENCE FOR MARKOV BRANCHING PROCESSES: A SEQUENTIAL APPROACH
• On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
• Sequential estimation and asymptotic properties in birth-and-death processes
• Statistical models based on counting processes
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