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Estimation paramétriques et tests d'hypothèses pour des modèles avec plusieurs ruptures d'un processus de poisson

Abstract : This work is devoted to the parametric estimation, hypothesis testing and goodnessof-fit test problems for non homogenous Poisson processes. First we consider two models having two jumps located by an unknown parameter.For the first model the sum of jumps is positive. The second is a model of switching intensity, piecewise constant and the sum of jumps is zero. Thus, for each model, we studied the asymptotic properties of the Bayesian estimator (BE) andthe likelihood estimator (MLE). The consistency, the convergence in distribution and the convergence of moments are shown. In particular we show that the BE is asymptotically efficient. For the second model we also consider the problem of asimple hypothesis testing against a one- sided alternative. The asymptotic properties (choice of the threshold and power) of Wald test (WT) and the generalized likelihood ratio test (GRLT) are described.For the proofs we use the method of Ibragimov and Khasminskii. This method is based on the weak convergence of the normalized likelihood ratio in the Skorohod space under some tightness criterion of the corresponding families of measure.By numerical simulations, the limiting variances of estimators allows us to conclude that the BE outperforms the MLE. In the situation where the sum of jumps is zero, we developed a numerical approach to obtain the MLE.Then we consider the problem of construction of goodness-of-test for a model with scale parameter. We show that the Cram´er-von Mises type test is asymptotically parameter-free. It is also consistent.
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Submitted on : Tuesday, November 22, 2016 - 2:37:16 PM
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  • HAL Id : tel-01400781, version 1


Alioune Top. Estimation paramétriques et tests d'hypothèses pour des modèles avec plusieurs ruptures d'un processus de poisson. Statistiques [math.ST]. Université du Maine; Université de Saint-Louis (Sénégal), 2016. Français. ⟨NNT : 2016LEMA1014⟩. ⟨tel-01400781⟩



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