Parameter estimation for Markov modulated poisson processes

DOI10.1080/15326349408807323zbMath0815.62059MaRDI QIDQ4314755

Tobias Rydén

Publication date: 27 November 1994

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349408807323

zbMATH Keywords

hidden Markov model; maximum likelihood estimator; Markov modulated Poisson process; strong consistency; doubly stochastic Poisson process; moment matching; finite state continuous-time Markov chain

Mathematics Subject Classification ID

62M05: Markov processes: estimation; hidden Markov models

Related Items

Parameter estimation for switched counting processes, Hidden Markov Chain Filtering for a Jump Diffusion Model, Consistency of Maximum Likelihood Parameter Estimation for Bivariate Markov Chains, On the severity of ruin in a Markov-modulated risk model, Markov-modulated Hawkes process with stepwise decay, An EM algorithm for estimation in Markov-modulated Poisson processes, Filters for estimating Markov modulated Poisson processes and image-based tracking, Identification of positive linear systems with Poisson output transformation, Asymptotic normality of the maximum-likelihood estimator for general hidden Markov models, Species occupancy modeling for detection data collected along a transect, An EM algorithm for continuous-time bivariate Markov chains, Estimation of the parameters of a Markov-modulated loss process in insurance, Recursions for the MMPP Score Vector and Observed Information Matrix, Unnamed Item