Recursive parameter estimation for counting processes with linear intensity

DOI10.1080/17442508608833411zbMath0582.62078OpenAlexW2076911590MaRDI QIDQ3704773

Peter Spreij

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/2491

zbMATH Keywords

asymptotic normalitycounting processesStrong consistencyRecursive estimation algorithmslinear intensity

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Related Items (5)

Weighted least squares estimates in linear regression models for processes with uncorrelated increments ⋮ Recursive parameter estimation for semimartingales ⋮ Recursive approximate maximum likelihood estimation for a class of counting process models ⋮ Suboptimal nonlinear filtering of the rate of an observed point process ⋮ Recursive estimation of a discrete-time Markov chain

Cites Work

• Convergence results for continuous-time adaptive stochastic filtering algorithms
• Calcul stochastique et problèmes de martingales
• Parameter estimation for point processes with partial observations: A filtering approach
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Central limit theorems for local martingales
• Asymptotic inference in stationary Gaussian time-series

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