This paper studies estimation issues for shot noise processes from a process history taken on a discrete-tie lattice. Optimal estimating equation methods are constructed for the case when the impulse response function of the shot process is interval similar; moment-type methods are explored for compactly supported impulse responses. Asymptotic normality of the proposed estimates are established and the limiting covariance of the estimates is derived. Examples demonstrating the application of the methods to specific shot functions are presented; short simulations are included for additional feel.

TR Number: 
2003-5
Yuanhui Xiao and Robert Lund
Key Words: 
Shot Noise, Inference, Estimating Equation, Conditional Expectation, Linear Prediction, Conditional Least Squares

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