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arXiv · 1806.06378

Method of Moments Estimators and Multu-step MLE for Poisson Processes

Ali S. Dabye·Alix A. Gounoung·Yury A. Kutoyants
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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.

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Ali S. Dabye, Alix A. Gounoung, Yury A. Kutoyants. 2018-06-17. Method of Moments Estimators and Multu-step MLE for Poisson Processes. https://arxiv.org/abs/1806.06378

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