Optimal choice of observation window for Poisson observations

Yury A. Kutoyants and Vladimir Spokoiny

Statistics & Probability Letters, 1999, vol. 44, issue 3, 291-298

Abstract: 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.

Keywords: Poisson; process; Parameter; estimation; Asymptotic; theory; Optimal; windows; Experiment; design (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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