NDLI: Inference for Shot Noise

Content Provider	Springer Nature Link
Author	Xiao, Yuanhui Lund, Robert
Copyright Year	2006
Abstract	This paper studies estimation issues for Poisson shot noise models from a data history observed on a discrete-time lattice. Optimal estimating function methods in the sense of Godambe (1985) are developed for the case when the impulse response function of the shot process is interval similar; moment methods are explored for compactly supported impulse responses. Asymptotic normality of the proposed estimates is established and the limiting covariance of the estimates is derived. Applications of the methods to several parametric shot function types are presented.
Starting Page	77
Ending Page	96
Page Count	20
File Format	PDF
ISSN	13870874
Journal	Statistical Inference for Stochastic Processes
Volume Number	9
Issue Number	1
e-ISSN	15729311
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	2006-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	conditional expectation conditional least squares estimating functions linear prediction Probability Theory and Stochastic Processes
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability

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Inference for Shot Noise