Modelling Poisson marked point processes using bivariate mixture transition distributions

DOI10.1080/00949655.2012.662683MaRDI QIDQ5218877zbMATH OpenOpenAlexFDO

Authors

Publication date 6 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2012.662683

zbMATH Keywords

continuous-discrete bivariate distribution modelsEM algorithmhigh-frequency financial dataidentifiabilityInternet trafficmarked point processesnegative binomial modelsobservation-driven modelsPoisson time series models

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Point estimation (62F10) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(6)

• General framework and model building in the class of hidden mixture transition distribution models
• Fitting Poisson time-series models using bivariate mixture transition distributions
• Hierarchical Bayesian modeling of marked non-homogeneous Poisson processes with finite mixtures and inclusion of covariate information
• Joint modeling of correlated time durations and their marks using a Weibull-Poisson marked point process mixture models
• Modeling Marked Point Processes via Bivariate Mixture Transition Distribution Models
• On some aspects of a bivariate alternative zero-inflated logarithmic series distribution

Describes a project that uses

Uses Software

• SAS
• PROC GENMOD

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