Method of Moments Estimators and Multu-step MLE for Poisson Processes
Statistics Theory
2018-06-19 v1 Statistics Theory
Abstract
We introduce two types of estimators of the finite-dimensional parameters in the case of observations of inhomogeneous Poisson processes. These are the estimators of the method of moments and multi-step MLE. It is shown that the estimators of the method of moments are consistent and asymptotically normal and the multi-step MLE are consistent and asymptotically efficient. The construction of multi-step MLE-process is done in two steps. First we construct a consistent estimator by the observations on some learning interval and then this estimator is used for construction of one-step and two-step MLEs. The main advantage of the proposed approach is its computational simplicity.
Keywords
Cite
@article{arxiv.1806.06378,
title = {Method of Moments Estimators and Multu-step MLE for Poisson Processes},
author = {Ali S. Dabye and Alix A. Gounoung and Yury A. Kutoyants},
journal= {arXiv preprint arXiv:1806.06378},
year = {2018}
}
Comments
19 pages