MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES

DOI10.1111/J.1467-9574.1986.TB01165.XMaRDI QIDQ3713439zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran

Publication date 1986

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9574.1986.tb01165.x

zbMATH Keywords

adaptive estimationasymptotic normalitycounting process modelsfiltering algorithmM-filterMaximum likelihood estimatesmodel reference adaptive systemperiodic intensity modelstochastic differential equationsstrong consistency

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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• Recursive parameter estimation for counting processes with linear intensity
• Recursive approximate maximum likelihood estimation for a class of counting process models
• Estimation in some counting process models with multiplicative structure
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• An on-line parameter estimation algorithm for counting process observations (Corresp.)

Cites work

• A strong law of large numbers for local martingales
• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 3860238 (Why is no real title available?)
• scientific article; zbMATH DE number 3701980 (Why is no real title available?)
• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• Linear Nonparametric Tests for Comparison of Counting Processes, with Applications to Censored Survival Data, Correspondent Paper
• Nonparametric inference for a family of counting processes
• Stochastic continuous-time model reference adaptive systems with decreasing gain
• Stochastic evolution of a nonlinear model of diffusion of information*
• Unbiased recursive identification using model reference adaptive techniques

Cited in

(4)

• Convergence analysis of parametric identification methods for jump processes
• Algorithm for the exact likelihood of a counting process
• Recursive parameter estimation for semimartingales
• Robust MR AS-type algorithm for system identification

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