Misspecified change-point estimation problem for a Poisson process
2001 ◽
Vol 38
(A)
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pp. 122-130
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Keyword(s):
Consider an inhomogeneous Poisson process X on [0, T] whose unknown intensity function ‘switches' from a lower function g∗ to an upper function h∗ at some unknown point θ∗. What is known are continuous bounding functions g and h such that g∗(t) ≤ g(t) ≤ h(t) ≤ h∗(t) for 0 ≤ t ≤ T. It is shown that on the basis of n observations of the process X the maximum likelihood estimate of θ∗ is consistent for n →∞, and also that converges in law and in pth moment to limits described in terms of the unknown functions g∗ and h∗.
2018 ◽
Vol 6
(6)
◽
pp. 527
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2017 ◽
Vol 47
(5)
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pp. 1215-1233
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2014 ◽
Vol 53
(3)
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pp. 694-714
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2018 ◽
Vol 6
(6)
◽
pp. 527
2015 ◽
Vol 11
(4)
◽
pp. 505-515
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2013 ◽
Vol 62
(2)
◽
pp. 112-114
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Keyword(s):
2017 ◽
Vol 188
◽
pp. 8-21
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