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On Bayesian estimators in misspecified change-point problems for Poisson process

Author

Listed:
  • Dabye, Ali S.
  • Farinetto, Christian
  • Kutoyants, Yury A.

Abstract

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 [theta]*. Here, [theta]* is a random variable. What is known are continuous bounding functions g and h such that g*(t)[less-than-or-equals, slant]g(t) [infinity], and also that converges in law and in p th moment to limits described in terms of the unknown functions g* and h*.

Suggested Citation

  • Dabye, Ali S. & Farinetto, Christian & Kutoyants, Yury A., 2003. "On Bayesian estimators in misspecified change-point problems for Poisson process," Statistics & Probability Letters, Elsevier, vol. 61(1), pages 17-30, January.
    • Handle: RePEc:eee:stapro:v:61:y:2003:i:1:p:17-30
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