On the weak convergence of a class of estimators of the variance-time curve of a weakly stationary point process

Abstract

The second-moment structure of an estimator V*(t) of the variance-time curve V(t) of a weakly stationary point process is obtained in the case where the process is Poisson. This result is used to establish the weak convergence of a class of estimators of the form Tβ (V*(tTα ) – V(tTα )), 0 < α < 1, to a non-stationary Gaussian process. Similar results are shown to hold when α = 0 and in the case where V(tTα ) is replaced by a suitable estimator.