Stein estimation of Poisson process intensities

Nicolas Privault (1) , Anthony Réveillac (2)

1 SPMS-PAP-02-01 - Division of Physics and Applied Physics [Nanyang Technological University]
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

We construct superefficient estimators of Stein type for the intensity parameter λ > 0 of a Poisson process, using integration by parts and superharmonic functionals on the Poisson space.

Mots clés: Poisson process; Intensity estimation; Stein estimation; Malliavin calculus

Domaines: Probabilités [math.PR]

Nicolas Privault, Anthony Réveillac. Stein estimation of Poisson process intensities. Statistical Inference for Stochastic Processes, 2007, 12 (01), pp.37-53. ⟨10.1007/s11203-007-9018-8⟩. ⟨hal-00918459⟩