On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios

DOI10.1007/S11203-011-9059-XzbMath1225.62133arXiv1007.2758OpenAlexW3104621929MaRDI QIDQ644961

Ilia Negri, Sergueï Dachian

Publication date: 7 November 2011

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

Full work available at URL: https://arxiv.org/abs/1007.2758

zbMATH Keywords

asymptotic relative efficiencymaximum likelihood estimatorlimiting distributioncompound Poisson processBayesian estimatorslimiting mean squared errornon-regularity

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Parametric inference (62F99) Inference from stochastic processes (62M99)

Related Items (4)

Translation invariant statistical experiments with independent increments ⋮ On nonlinear TAR processes and threshold estimation ⋮ On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios ⋮ On a Poissonian change-point model with variable jump size

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