Asymptotic information for parametric estimation from an equilibrium particle process

Michael J. Phelan

Statistics & Probability Letters, 1995, vol. 24, issue 3, 193-198

Abstract: We consider asymptotic parametric estimation from a particle process of birth and death on a Brownian flow. Whether for likelihood or quasi-likelihood estimators, we treat expressions of the asymptotic information in relation to a stationary law for the process. And when that law is specifically that of a Poisson random measure, we treat a computational formula for asymptotic information including Fisher's information for the maximum-likelihood estimator.

Keywords: Brownian; flows; Poisson; process; Stationary; Markov; process; Asymptotic; information (search for similar items in EconPapers)
Date: 1995
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