On properties of estimators in nonregular situations for Poisson processes

DOI10.1007/S10958-009-9669-7zbMATH Open1288.62028arXiv0903.4613OpenAlexW2072490891MaRDI QIDQ2452906FDOQ2452906

Authors: Yu. A. Kutoyants 

Publication date: 6 June 2014

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Abstract: We consider the problem of parameter estimation by observations of inhomogeneous Poisson process. It is well-known that if the regularity conditions are fulfilled then the maximum likelihood and Bayesian estimators are consistent, asymptotically normal and asymptotically efficient. These regularity conditions can be roughly presented as follows: a) the intensity function of observed process belongs to known parametric family of functions, b) the model is identifiable, c) the Fisher information is positive continuous function, d) the intensity function is sufficiently smooth with respect to the unknown parameter, e) this parameter is an interior point of the interval. We are interested in the properties of estimators when these regularity conditions are not fulfilled. More precisely, we preset a review of the results which correspond to the rejection of these conditions one by one and we show how the properties of the MLE and Bayesian estimators change. The proofs of these results are essentially based on some general results by Ibragimov and Khasminskii.

Full work available at URL: https://arxiv.org/abs/0903.4613

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Mathematics Subject Classification ID

Point estimation (62F10)

Cites Work

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Cited In (12)

• Asymptotic properties of the maximum likelihood estimator for spatio-temporal point processes
• Title not available (Why is that?)
• Parameter estimation for nearly nonstationary AR(1) processes
• Title not available (Why is that?)
• Nonparametric Bayesian inference for ergodic diffusions
• Method of moments estimators and multi-step MLE for Poisson processes
• Consistent parametric estimation of the intensity of a spatial-temporal point process
• An Elementary Approach for Extending Poisson Processes to the Nonstationary Case
• Accurate rates of density estimators for continuous-time processes
• Title not available (Why is that?)
• On Bayesian estimators in misspecified change-point problems for Poisson process
• On non-consistency of estimators

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