Functional estimation of the random rate of a Cox process

DOI10.1007/S11009-010-9173-ZMaRDI QIDQ430885zbMATH OpenOpenAlexFDO

Authors Paula R. Bouzas, Nuria Ruiz-Fuentes, Ana M. Aguilera

Publication date 26 June 2012

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10481/72977

zbMATH Keywords

functional data analysisfunctional principal component analysismonotone piecewise cubic interpolation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Factor analysis and principal components; correspondence analysis (62H25) Non-Markovian processes: estimation (62M09)

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Cites work

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• Modelling the mean of a doubly stochastic Poisson process by functional data analysis
• Monotone Piecewise Cubic Interpolation
• On the structure of the stochastic processes of mortgages in Spain
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Cited in

(6)

• Time sensitive functionals of marked Cox processes
• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• Functional principal component modelling of the intensity of a doubly stochastic Poisson process
• Cox process functional learning
• On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process
• Functional approach to the random mean of a compound Cox process

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Uses Software

• fda (R)
• pchip

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