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

DOI10.1007/S11203-011-9059-XMaRDI QIDQ644961zbMATH OpenOpenAlexFDO

Authors S. Dachian, Ilia Negri

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 efficiencyBayesian estimatorscompound Poisson processlimiting distributionlimiting mean squared errormaximum likelihood estimatornon-regularity

Mathematics Subject Classification ID

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

Abstract: Different change-point type models encountered in statistical inference for stochastic processes give rise to different limiting likelihood ratio processes. In a previous paper of one of the authors it was established that one of these likelihood ratios, which is an exponential functional of a two-sided Poisson process driven by some parameter, can be approximated (for sufficiently small values of the parameter) by another one, which is an exponential functional of a two-sided Brownian motion. In this paper we consider yet another likelihood ratio, which is the exponent of a two-sided compound Poisson process driven by some parameter. We establish, that similarly to the Poisson type one, the compound Poisson type likelihood ratio can be approximated by the Brownian type one for sufficiently small values of the parameter. We equally discuss the asymptotics for large values of the parameter and illustrate the results by numerical simulations.

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Cited in

(8)

• A log-linear model for a Poisson process change point
• Translation invariant statistical experiments with independent increments
• On a Poissonian change-point model with variable jump size
• On Gaussian Compound Poisson Type Limiting Likelihood Ratio Process
• Empirical likelihood for compound Poisson processes under infinite second moment
• On compound Poisson processes arising in change-point type statistical models as limiting likelihood ratios
• On nonlinear TAR processes and threshold estimation
• On limiting likelihood ratio processes of some change-point type statistical models

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