Forecasting a class of doubly stochastic Poisson processes

DOI10.1007/S00362-002-0120-0zbMATH Open1008.62093OpenAlexW1998288028MaRDI QIDQ1856570FDOQ1856570

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

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zbMATH Keywords

doubly stochastic Poisson processtruncated normal distributionbank billsmultivariate principal components regression

Mathematics Subject Classification ID

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

Cites Work

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• Forecasting time series by functional PCA. Discussion of several weighted approaches
• Estimating the parameters of a doubly truncated normal distribution

Cited In (9)

• Functional principal component modelling of the intensity of a doubly stochastic Poisson process
• Functional estimation of the random rate of a Cox process
• Closed-form formulas for the distribution of the jumps of doubly-stochastic Poisson processes
• Modelling the mean of a doubly stochastic Poisson process by functional data analysis
• Title not available (Why is that?)
• Bayesian prediction in doubly stochastic Poisson process
• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

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