Second order asymptotical efficiency for a Poisson process

DOI10.3103/S1068362315020065MaRDI QIDQ260288zbMATH OpenFDO

Authors S. B. Gasparyan

Publication date 21 March 2016

Published in Journal of Contemporary Mathematical Analysis. Armenian Academy of Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2006.13516

zbMATH Keywords

asymptotic efficiencyPoisson processsecond order estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Abstract: We consider the problem of the estimation of the mean function of an inhomogeneous Poisson process when its intensity function is periodic. For the mean integrated squared error (MISE) there is a classical lower bound for all estimators and the empirical mean function attains that lower bound, thus it is asymptotically efficient. Following the ideas of the work by Golubev and Levit, we compare asymptotically efficient estimators and propose an estimator which is second order asymptotically efficient. Second order efficiency is done over Sobolev ellipsoids, following the idea of Pinsker.

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Cites work

• scientific article; zbMATH DE number 782641 (Why is no real title available?)
• Applications of the van Trees inequality: A Bayesian Cramér-Rao bound
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Cited in

(3)

• On the lower bound in second order estimation for Poisson processes: asymptotic efficiency
• Second-order efficient test for inhomogeneous Poisson processes
• The First- and Second-Order Large-Deviation Efficiency for an Exponential Family and Certain Curved Exponential Models

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