Forecasting a class of doubly stochastic Poisson processes

DOI10.1007/S00362-002-0120-0MaRDI QIDQ1856570zbMATH OpenOpenAlexFDO

Authors Paula R. Bouzas, Ana M. Aguilera, Mariano J. Valderrama

Publication date 10 February 2003

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-002-0120-0

zbMATH Keywords

bank billsdoubly stochastic Poisson processmultivariate principal components regressiontruncated normal distribution

Mathematics Subject Classification ID

Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Estimating the parameters of a doubly truncated normal distribution
• Forecasting time series by functional PCA. Discussion of several weighted approaches
• scientific article; zbMATH DE number 3114766 (Why is no real title available?)
• scientific article; zbMATH DE number 49702 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)

Cited in

(9)

• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
• Functional principal component modelling of the intensity of a doubly stochastic Poisson process
• Functional estimation of the random rate of a Cox process
• scientific article; zbMATH DE number 2073351 (Why is no real title available?)
• Bayesian prediction in doubly stochastic Poisson process
• On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process
• Modelling the mean of a doubly stochastic Poisson process by functional data analysis

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