On Estimating the Asymptotic Variance of Stationary Point Processes

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 .