Statistical properties of a kernel-type estimator of the intensity function of a cyclic Poisson process

We consider a kernel-type nonparametric estimator of the intensity function of a cyclic Poisson process when the period is unknown. We assume that only a single realization of the Poisson process is observed in a bounded window which expands in time. We compute the asymptotic bias, variance, and the mean-squared error of the estimator when the window indefinitely expands.

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Year of publication:	2005
Authors:	Helmers, Roelof ; Mangku, I. Wayan ; Zitikis, Ricardas
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 92.2005, 1, p. 1-23
Publisher:	Elsevier
Keywords:	Poisson process Point process Intensity function Period Nonparametric estimation Consistency Bias Variance Mean-squared error

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

Persistent link: https://www.econbiz.de/10005093908