2009/03/26 by Yury A. Kutoyants, Kutoyants, Yury A.
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #Advanced Statistical Process Monitoring #FOS: Mathematics #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.0903.4613
openalex publication_date 2009/03/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider the problem of parameter estimation by observations of inhomogeneous Poisson process. It is well-known that if the regularity conditions are fulfilled then the maximum likelihood and Bayesian estimators are consistent, asymptotically normal and asymptotically efficient. These regularity conditions can be roughly presented as follows: a) the intensity function of observed process belongs to known parametric family of functions, b) the model is identifiable, c) the Fisher information is positive continuous function, d) the intensity function is sufficiently smooth with respect to the unknown parameter, e) this parameter is an interior point of the interval. We are interested in the properties of estimators when these regularity conditions are not fulfilled. More precisely, we preset a review of the results which correspond to the rejection of these conditions one by one and we show how the properties of the MLE and Bayesian estimators change. The proofs of these results are essentially based on some general results by Ibragimov and Khasminskii.