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Optimal choice of observation window for Poisson observations

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  • Kutoyants, Yury A.
  • Spokoiny, Vladimir

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.

Suggested Citation

  • Kutoyants, Yury A. & Spokoiny, Vladimir, 1999. "Optimal choice of observation window for Poisson observations," Statistics & Probability Letters, Elsevier, vol. 44(3), pages 291-298, September.
    • Handle: RePEc:eee:stapro:v:44:y:1999:i:3:p:291-298
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    Cited by:

    1. Khowaja, Kainat & Saef, Danial & Sizov, Sergej & Härdle, Wolfgang Karl, 2020. "Data Analytics Driven Controlling: bridging statistical modeling and managerial intuition," IRTG 1792 Discussion Papers 2020-026, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".

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