Optimal choice of observation window for Poisson observations

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.

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Year of publication:	1999
Authors:	Kutoyants, Yury A. ; Spokoiny, Vladimir
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 44.1999, 3, p. 291-298
Publisher:	Elsevier
Keywords:	Poisson process Parameter estimation Asymptotic theory Optimal windows Experiment design

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005137886