Author： Xiao Yuanhui Lund Robert
Publisher： Springer Publishing Company
ISSN： 1387-0874
Source： Statistical Inference for Stochastic Processes, Vol.9, Iss.1, 2006-05, pp. : 77-96
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
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.
Related content
Shot noise in diffusive SNS and SIN junctions
By Lefloch F. Hoffmann C. Quirion D. Sanquer M.
Physica E, Vol. 18, Iss. 1, 2003-05 ,pp. :
Access to resources
Recommend
On the Limit Distribution of Integrals of Shot-Noise Processes
By Il'enko A.B.
Ukrainian Mathematical Journal, Vol. 54, Iss. 1, 2002-01 ,pp. :
Current and shot noise in superconducting junctions with a quantum dot in the Kondo regime
By Golub A. Avishai Y. Zaikin A.A.
Physica E, Vol. 18, Iss. 1, 2003-05 ,pp. :