Estimating doubly stochastic Poisson process with affine intensities by Kalman filter

DOI10.1007/S00362-014-0606-6MaRDI QIDQ2516623zbMATH OpenOpenAlexFDO

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

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)

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Cited in

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• LMMSE estimation based on counting observations
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• A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process
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• Forecasting a class of doubly stochastic Poisson processes
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events

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