Differentiablity of point process models and asymptotic efficiency of differentiable functionals
作者:
R. Holtrode,
L. Rüschendorf,
期刊:
Statistics
(Taylor Available online 1993)
卷期:
Volume 24,
issue 1
页码: 17-42
ISSN:0233-1888
年代: 1993
DOI:10.1080/02331888308802387
出版商: Taylor & Francis Group
关键词: Multiplicative intensities;L2-differentiability;Nelson-Aalen estimator;asymptotic efficiency;point process models
数据来源: Taylor
摘要:
Summary. In this paper we consider some different techniques allowing to construct asymptotically efficient estimators in point process models. In particular we establish L2-differentiability for point processes with multiplicative intensities and thus can apply Hadamard differentiability techniques for the i.i.d. case. In the second part of the paper we extend some properties of differentiable functionals known from the i.i.d. situation to general LAN models of point processes. We establish the LAN condition for point processes with differentiable intensities and as consequence obtain optimality of various estimators in general intensity models
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