Estimating the intensity function of a power law process at the current time: time truncated case
Titel:
Estimating the intensity function of a power law process at the current time: time truncated case
Auteur:
Rigdon, Steven E. Basu, Asit P.
Verschenen in:
Communications in statistics
Paginering:
Jaargang 19 (1990) nr. 3 pagina's 1079-1104
Jaar:
1990
Inhoud:
The power law process, a nonhomogeneous Poisson process with intensity function µ(t) = (β/θ)(t/θ) , is frequently used to model the occurence of events in time. Often, an important quantity is the value of the intensity function at the current time, that is, the time when data collection is ceased. In this article, the problem of estimating this quantity is addressed when the data are time truncated, that is, when data collection is stopped at a predetermined time T. The class of multiples of the conditional MLE is suggested, and some members are analyzed. In addition, the class of estimators formed by first performing a preliminary test of significance on the parameter β is analyzed. Expressions for the bias and MSE of these estimators are derived and evaluated for several values of the parameters
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