On Bayesian estimators in misspecified change-point problems for Poisson process

Ali S. Dabye, Christian Farinetto and Yury A. Kutoyants

Statistics & Probability Letters, 2003, vol. 61, issue 1, 17-30

Abstract: Consider an inhomogeneous Poisson process X on [0,T] whose unknown intensity function 'switches' from a lower function g* to an upper function h* at some unknown point [theta]*. Here, [theta]* is a random variable. What is known are continuous bounding functions g and h such that g*(t)[less-than-or-equals, slant]g(t) [infinity], and also that converges in law and in p th moment to limits described in terms of the unknown functions g* and h*.

Keywords: Inhomogeneous; Poisson; process; Change-point; type; problem; Parameter; estimation; Misspecified; model; Bayesian; estimator; Consistency; Limit; distribution (search for similar items in EconPapers)
Date: 2003
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