Large deviation probabilities in estimation of Poisson random measures

Danielle Florens and Huyên Pham

Stochastic Processes and their Applications, 1998, vol. 76, issue 1, 117-139

Abstract: We consider the parametric estimation problem of intensity measure of a Poisson random measure. We prove large deviation principles for Poisson random measures and an implicit contraction principle. These results are applied to provide a large deviation principle for a maximum likelihood estimator in a parametric statistical model and to explicitly identify the rate function.

Keywords: Large; deviations; Poisson; random; measures; Maximum; likelihood; estimator (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (3)

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