Pseudomartingale estimating equations for modulated renewal process models

Fengchang Lin and Jason P. Fine

Journal of the Royal Statistical Society Series B, 2009, vol. 71, issue 1, 3-23

Abstract: Summary. We adapt martingale estimating equations based on gap time information to a general intensity model for a single realization of a modulated renewal process. The consistency and asymptotic normality of the estimators is proved under ergodicity conditions. Previous work has considered either parametric likelihood analysis or semiparametric multiplicative models using partial likelihood. The framework is generally applicable to semiparametric and parametric models, including additive and multiplicative specifications, and periodic models. It facilitates a semiparametric extension of a popular parametric earthquake model. Simulations and empirical analyses of Taiwanese earthquake sequences illustrate the methodology's practical utility.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9868.2008.00680.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jorssb:v:71:y:2009:i:1:p:3-23

Ordering information: This journal article can be ordered from
http://ordering.onli ... 1111/(ISSN)1467-9868

Access Statistics for this article

Journal of the Royal Statistical Society Series B is currently edited by P. Fryzlewicz and I. Van Keilegom

More articles in Journal of the Royal Statistical Society Series B from Royal Statistical Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().