A Monte Carlo method for filtering a marked doubly stochastic Poisson process

DOI10.1007/S10260-007-0051-YMaRDI QIDQ1039969zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Elisa Varini

Publication date 23 November 2009

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-007-0051-y

zbMATH Keywords

state-space modelpoint processesMonte Carlo integrationnon-linear filter

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Monte Carlo methods (65C05) Sequential statistical analysis (62L10) Inference from stochastic processes and prediction (62M20) Continuous-time Markov processes on general state spaces (60J25) Seismology (including tsunami modeling), earthquakes (86A15)

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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 1163495 (Why is no real title available?)
• scientific article; zbMATH DE number 2106098 (Why is no real title available?)
• Bayesian Methods for Hidden Markov Models
• Bayesian analysis of a marked point process: application in seismic hazard assessment
• Finite state and discrete time approximation for filters.
• Kalman filtering: with real-time applications.
• Markov Chains
• On the unnormalized solution of the filtering problem with counting process observations
• Sequential Monte Carlo Methods in Practice
• Simulation of nonhomogeneous Poisson processes with log linear rate function
• State Space and Unobserved Component Models

Cited in

(4)

• Functional estimation of the random rate of a Cox process
• Change point analysis on the Corinth Gulf (Greece) seismicity
• Inference for a class of partially observed point process models
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes

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