Stein estimation of the intensity of a spatial homogeneous Poisson point process

DOI10.1214/15-AAP1124MaRDI QIDQ303954zbMATH OpenFDO

Authors Marianne Clausel, Jean-François Coeurjolly, Jérôme Lelong

Publication date 23 August 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.4372, https://projecteuclid.org/euclid.aoap/1465905010

zbMATH Keywords

integration by partsintensity estimationMalliavin calculusPoisson point processesStein's formulasuperefficient estimator

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Point estimation (62F10)

Abstract: In this paper, we revisit the original ideas of Stein and propose an estimator of the intensity parameter of a homogeneous Poisson point process defined in $R^d$ and observed in a bounded window. The procedure is based on a new general integration by parts formula for Poisson point processes. We show that our Stein estimator outperforms the maximum likelihood estimator in terms of mean squared error. In particular, we show that in many practical situations we have a gain larger than 30%.

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Cited in

(6)

• On an estimation problem for type I censored spatial Poisson processes.
• Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
• Efficient and superefficient estimators of filtered Poisson process intensities
• Median-based estimation of the intensity of a spatial point process
• 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

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