Estimation of the spectral parameters of a stationary point process

DOI10.1214/aos/1176345465zbMath0475.62074OpenAlexW2088217701MaRDI QIDQ1159430

Pham Dinh Tuan

Publication date: 1981

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176345465

zbMATH Keywords

frequency domainconsistencyasymptotic normalitymaximum likelihood estimationtime domainperiodogramspectral densitycounting processcumulantleast square estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (4)

Statistical inference for ergodic point processes and application to limit order book ⋮ Quasi-likelihood analysis for marked point processes and application to marked Hawkes processes ⋮ Truncated Hawkes point process modeling: system theory and system identification ⋮ Spectra-based estimates of certain time-domain parameters of a bivariate stationary-point process

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