Estimation in the Context of a Poisson Process on the Real Line


Create a matrix X of dimension (100,150) such that each of the 100 rows of X contains observations of where is the waiting time for the ith event to occur and each is generated from a Poisson process with common rate parameter 2,

  1. For each of the 100 simulated processes, estimate using the scheme in Problem 4.5.6 with t=30. By substituting for in the expression for the variance of this estimate, come up with a standard error for each of your 100 estimates. Now, keeping in mind that the standard error is an approximation to the standard deviation of your estimate, compare the mean of your 100 standard errors with the sample standard deviation of your 100 estimates. How do these two numbers compare?

  2. Estimate using the scheme in Problem 4.5.7 with n=30 for each of the 100 simulations in X. By substituting for in the expression for the variance of this estimate, come up with a standard error for each of your 100 estimates. Again compare the mean of your 100 standard errors with the sample standard deviation of your 100 estimates.

  3. Compare your estimates from questions 1 and 2.