Engineering
2 years ago

New method simplifies accurate estimation of Poisson process parameters.

arXiv (Cornell University)
Method of Moments Estimators and Multu-step MLE for Poisson Processes
Ali S. Dabye, Alix A. Gounoung, Yury A. Kutoyants

Paper Summary

Related papers

Economics, Econometrics and Finance
8 years ago

GMM estimation offers robust parameter identification, but unlikely to outperform OLS/2SLS for most empirical researchers.

Macroeconomic Analysis
Spatial Econometrics
Credit Expansion
Theme background image
Mathematics
8 years ago

New proof shows more accurate economic predictions for better financial decisions!

Multicollinearity
Regularization Methods
Matrix Inequalities
Theme background image
Mathematics
8 years ago

New method simplifies complex models, revolutionizing economic studies.

Multicollinearity
Macroeconomic Analysis
Uncertainty Quantification

Researchers developed two types of estimators for analyzing inhomogeneous Poisson processes: method of moments and multi-step MLE. Method of moments estimators are consistent and asymptotically normal, while multi-step MLE are consistent and efficient. The multi-step MLE process involves constructing estimators in two steps for computational simplicity.