Functional Principal Component Modelling of the Intensity of a Doubly Stochastic Poisson Process

DOI10.1007/978-3-642-57489-4_55zbMath1440.62006OpenAlexW2278043053MaRDI QIDQ3298710

Paula R. Bouzas, Nuria Ruiz-Fuentes, Ana M. Aguilera

Publication date: 15 July 2020

Published in: Compstat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57489-4_55

zbMATH Keywords

functional principal component analysisdoubly stochastic Poisson process

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Uses Software

• fda (R)

Cites Work

• Functional data analysis
• Forecasting a class of doubly stochastic Poisson processes
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item