Optimal choice of observation window for Poisson observations

被引：1
|
作者：
Kutoyants, YA
Spokoiny, V
机构：
[1] Univ Maine, Lab Stat & Processus, F-72085 Le Mans 9, France
[2] Weierstrass Inst Angew Anal & Stochast, Berlin, Germany
来源：
STATISTICS & PROBABILITY LETTERS | 1999年 / 44卷 / 03期
关键词：
Poisson process; parameter estimation; asymptotic theory; optimal windows; experiment design;
D O I：
10.1016/S0167-7152(99)00020-6
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider the possibility of optimal choice of observation window in the problem of parameter estimation by the observations of an inhomogeneous Poisson process. A minimax lower bound is proposed for the risk of estimation under an arbitrary choice of observation window. Then the adaptive procedure is proposed which is asymptotically efficient in the sense of this bound. (C) 1999 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：291 / 298
页数：8
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