Large deviation principle in nonparametric estimation of marked point processes

Danielle Florens (1) , H Pham (2)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

The nonparametric estimation problem of intensity measure of a homogeneous Poisson random measure is considered, based on an eventually partial observation of the jumps amplitude. We prove a large deviation principle for a kernel type estimator and we explicitly identify its rate function. (C) 1999 Elsevier Science B.V. All rights reserved.

Domaines: Physique mathématique [math-ph]

Danielle Florens, H Pham. Large deviation principle in nonparametric estimation of marked point processes. Statistics and Probability Letters, 1999, 41 (4), pp.383--388. ⟨10.1016/S0167-7152(98)00181-3⟩. ⟨hal-00693896⟩