Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

DOI10.1007/S00362-014-0606-6zbMATH Open1329.62393OpenAlexW1998003810MaRDI QIDQ2516623FDOQ2516623

Authors: Alan De Genaro, Adilson Simonis 

Publication date: 3 August 2015

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-014-0606-6

Recommendations

• Estimation and filtering on a doubly stochastic poisson process
• Adaptive estimation of intensity in a doubly stochastic Poisson process
• scientific article; zbMATH DE number 3911532
• Estimation of the Rate of a Doubly Stochastic Time-Space Poisson Process
• Nonparametric inference for a doubly stochastic Poisson process
• Nonparametric inference of doubly stochastic Poisson process data via the kernel method
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Maximum likelihood estimation for doubly stochastic poisson processes with partial observations

zbMATH Keywords

Kalman filterdoubly stochastic Poisson processorder bookaffine diffusion

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Two singular diffusion problems
• A theory of the term structure of interest rates
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Title not available (Why is that?)
• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Title not available (Why is that?)
• Title not available (Why is that?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• An introduction to the theory of point processes
• On a measure of lack of fit in time series models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Title not available (Why is that?)
• The Econometrics of Ultra-high-frequency Data
• Affine processes and applications in finance
• Title not available (Why is that?)
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Doubly stochastic Poisson processes
• A stochastic model for order book dynamics
• Title not available (Why is that?)
• SOLVABLE AFFINE TERM STRUCTURE MODELS
• An Analysis of Comparative Carcinogenesis Experiments Based on Multiple Times to Tumor
• Title not available (Why is that?)
• Title not available (Why is that?)
• Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables
• On Cox processes and credit risky securities
• Credit risk: Modelling, valuation and hedging
• Aspects of risk theory
• Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity
• A Trust Region Algorithm for Nonlinearly Constrained Optimization
• Laplace Transforms for Integrals of Markov Processes
• A Cox process with log-normal intensity.
• Forecasting a class of doubly stochastic Poisson processes
• Nonparametric inference of doubly stochastic Poisson process data via the kernel method
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process
• Approximations to the non-central chi-square distribution
• The distribution of the interval between events of a Cox process with shot noise intensity
• Title not available (Why is that?)
• Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
• Population death sequences and Cox processes driven by interacting Feller diffusions

Cited In (8)

• LMMSE estimation based on counting observations
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Maximum likelihood estimation for doubly stochastic poisson processes with partial observations
• Title not available (Why is that?)
• Forecasting a class of doubly stochastic Poisson processes
• Estimation and filtering on a doubly stochastic poisson process
• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events
• A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process

This page was built for publication: Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2516623)