Abstract
We investigate a class of kernel estimators \(\widehat{\sigma}^2_n\) of the asymptotic variance σ 2 of a d-dimensional stationary point process \(\Psi = \sum_{i\ge 1}\delta_{X_i}\) which can be observed in a cubic sampling window \(W_n = [-n,n]^d\,\). σ 2 is defined by the asymptotic relation \(Var(\Psi(W_n)) \sim \sigma^2 \,(2n)^d\) (as n → ∞) and its existence is guaranteed whenever the corresponding reduced covariance measure \(\gamma^{(2)}_{red}(\cdot)\) has finite total variation. Depending on the rate of decay (polynomially or exponentially) of the total variation of \(\gamma^{(2)}_{red}(\cdot)\) outside of an expanding ball centered at the origin, we determine optimal bandwidths b n (up to a constant) minimizing the mean squared error of \(\widehat{\sigma}^2_n\). The case when \(\gamma^{(2)}_{red}(\cdot)\) has bounded support is of particular interest. Further we suggest an isotropised estimator \(\widetilde{\sigma}^2_n\) suitable for motion-invariant point processes and compare its properties with \(\widehat{\sigma}^2_n\). Our theoretical results are illustrated and supported by a simulation study which compares the (relative) mean squared errors of \(\widehat{\sigma}^2_n\) for planar Poisson, Poisson cluster, and hard-core point processes and for various values of n b n .
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Heinrich, L., Prokešová, M. On Estimating the Asymptotic Variance of Stationary Point Processes. Methodol Comput Appl Probab 12, 451–471 (2010). https://doi.org/10.1007/s11009-008-9113-3
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DOI: https://doi.org/10.1007/s11009-008-9113-3
Keywords
- Reduced covariance measure
- Factorial moment and cumulant measures
- Poisson cluster process
- Hard-core process
- Kernel-type estimator
- Mean squared error
- Optimal bandwidth
- Pair correlation function
- Central limit theorem
- Brillinger-mixing