Optimal choice of observation window for Poisson observations

Yury A. Kutoyants, Vladimir Spokoiny

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We consider the possibility of optimal choice of observation window in the problem of parameter estimation by the observations of an inhomogeneous Poisson process. A minimax lower bound is proposed for the risk of estimation under an arbitrary choice of observation window. Then the adaptive procedure is proposed which is asymptotically efficient in the sense of this bound.

Original languageEnglish
Pages (from-to)291-298
Number of pages8
JournalStatistics and Probability Letters
Volume44
Issue number3
DOIs
Publication statusPublished - 15 Sep 1999
Externally publishedYes

Keywords

  • Asymptotic theory
  • Experiment design
  • Optimal windows
  • Parameter estimation
  • Poisson process

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