Stein estimation of Poisson process intensities

DOI10.1007/S11203-007-9018-8MaRDI QIDQ625309zbMATH OpenOpenAlexFDO

Authors Nicolas Privault, Anthony Réveillac

Publication date 15 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://basepub.dauphine.fr/handle/123456789/7103

zbMATH Keywords

intensity estimationMalliavin calculusPoisson processStein estimation

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Cites work

• A calculus on Fock space and its probabilistic interpretations
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Estimation of the mean of a multivariate normal distribution
• scientific article; zbMATH DE number 3642554 (Why is no real title available?)
• scientific article; zbMATH DE number 797357 (Why is no real title available?)
• scientific article; zbMATH DE number 847813 (Why is no real title available?)
• Integration by parts for Poisson processes
• On Extended Stochastic Intervals
• Statistical inference for spatial Poisson processes
• Stein estimation for infinitely divisible laws
• Stein's method, Palm theory and Poisson process approximation.
• Superefficient drift estimation on the Wiener space

Cited in

(8)

• Estimating Stein's constants for compound Poisson approximation
• Intensity estimation of non-homogeneous Poisson processes from shifted trajectories
• Statistical inference and Malliavin calculus
• Stein estimation of the intensity of a spatial homogeneous Poisson point process
• Efficient and superefficient estimators of filtered Poisson process intensities
• Estimating intensity functions of spatial inhomogeneous Poisson point processes via a Stein estimator
• Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes
• Drift estimation with non-Gaussian noise using Malliavin calculus

This page was built for publication: Stein estimation of Poisson process intensities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q625309)