Abstract:
Suppase
N(
t),
t≥0 is a point process on probability space (Ω,
F,
Pθ) with intensity
λ(
θ,
t), where
θ=(
θ1,…’,
θm) is unknown parameter. Let
θ*=(
θ1*,…
θm*)' be the true value of
θ. The observed data are
N(
t), 0 ≤
t≤
T. Denote the MLE of
θ as
^θT. In this paper we give that, under some conditions, the MLE of
θ is consistent, and \beginaligned & \limsup _T \rightarrow \infty \frac\lambda_\min (T)\left\|\widehat\theta_T-\theta^*\right\|\sqrt2 h^2(T) \mathrmLLg\left(h^2(T)\right) \stackrel\text a.s. \leq 1 \\ & \limsup _T \rightarrow \infty \fracc \lambda_\max (T)\left\|\widehat\theta_T-\theta^*\right\|\sqrt2 h^2(T) \mathrmLLg\left(h^2(T)\right) \stackrel\text a.s. \geq 1\endaligned where
c > 0 and
h(
T) are obtained from
λ(
t,
θ*),
λmax(
T)(
λmin(
T)) is the maximum (minimum) among theeigenvalues of the information matrix.