Large deviation principle in nonparametric estimation of marked point processes

Danielle Florens and Huyên Pham

Statistics & Probability Letters, 1999, vol. 41, issue 4, 383-388

Abstract: The nonparametric estimation problem of intensity measure of a homogeneous Poisson random measure is considered, based on an eventually partial observation of the jumps amplitude. We prove a large deviation principle for a kernel type estimator and we explicitly identify its rate function.

Keywords: Large; deviation; Marked; point; process; Kernel; estimator (search for similar items in EconPapers)
Date: 1999
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