Stein estimation of Poisson process intensities

DOI10.1007/s11203-007-9018-8zbMath1205.62123OpenAlexW1977736056MaRDI QIDQ625309

Nicolas Privault, Anthony Réveillac

Publication date: 15 February 2011

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/7103

zbMATH Keywords

Malliavin calculusPoisson processintensity estimationStein estimation

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

Stein estimation of the intensity of a spatial homogeneous Poisson point process ⋮ Statistical Inference and Malliavin Calculus ⋮ Efficient and superefficient estimators of filtered Poisson process intensities ⋮ Estimating intensity functions of spatial inhomogeneous Poisson point processes via a Stein estimator ⋮ Drift estimation with non-Gaussian noise using Malliavin calculus ⋮ Intensity estimation of non-homogeneous Poisson processes from shifted trajectories ⋮ Functional Cramér-Rao bounds and Stein estimators in Sobolev spaces, for Brownian motion and Cox processes

Cites Work

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• Superefficient drift estimation on the Wiener space
• Estimation of the mean of a multivariate normal distribution
• Integration by parts for Poisson processes
• Statistical inference for spatial Poisson processes
• A calculus on Fock space and its probabilistic interpretations
• Stein's method, Palm theory and Poisson process approximation.
• On Extended Stochastic Intervals
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Stein estimation for infinitely divisible laws

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