Large deviation probabilities in estimation of Poisson random measures

We consider the parametric estimation problem of intensity measure of a Poisson random measure. We prove large deviation principles for Poisson random measures and an implicit contraction principle. These results are applied to provide a large deviation principle for a maximum likelihood estimator in a parametric statistical model and to explicitly identify the rate function.

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Year of publication:	1998
Authors:	Florens, Danielle ; Pham, Huyên
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 76.1998, 1, p. 117-139
Publisher:	Elsevier
Keywords:	Large deviations Poisson random measures Maximum likelihood estimator

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874251