Abstract
Let Πγ(t) be a Poisson process with parameter γ < 1. We determine the distribution of argmaxt ≥ 0Πγ(t) — t. This distribution appears as asymptotic distribution of maximum-likelihood estimates and and other stochastic optimizers. We also consider the distribution of argmaxt≥0t — Πγ(t) for γ > 1.
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© 1994 Springer-Verlag Berlin Heidelberg
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Pflug, G.C. (1994). On an Argmax-Distribution Connected to the Poisson Process. In: Mandl, P., Hušková, M. (eds) Asymptotic Statistics. Contributions to Statistics. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57984-4_9
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DOI: https://doi.org/10.1007/978-3-642-57984-4_9
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-0770-7
Online ISBN: 978-3-642-57984-4
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