Optimal choice of observation window for Poisson observations

✍ Scribed by Yury A. Kutoyants; Vladimir Spokoiny

• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 112 KB
• Volume: 44
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(99)00020-6

✦ Synopsis

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 e cient in the sense of this bound.