Maximum likelihood estimation for doubly stochastic poisson processes with partial observations

DOI10.1080/17442508608833366MaRDI QIDQ3709702zbMATH OpenOpenAlexFDO

Authors Franz Konecny

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508608833366

zbMATH Keywords

asymptotic efficiencyasymptotic normalityconditional likelihood ratioconsistencyconvergence of the momentsdoubly stochastic Poisson processergodic caseGirsanov theoremintensity parameter estimationnonlinear filtering approachpoint process filteringpoint processesunobservable diffusion processZakai equation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Asymptotic properties of parametric tests (62F05) Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cites work

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• On Discontinuous Martingales
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes

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(8)

• Direct calculation of maximum likelihood estimator for the bivariate Poisson distribution
• Evaluation of the states of a stepwise varying flux of events with incomplete observability
• Particle-based likelihood inference in partially observed diffusion processes using generalised Poisson estimators
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• scientific article; zbMATH DE number 5864668 (Why is no real title available?)
• scientific article; zbMATH DE number 3911532 (Why is no real title available?)
• scientific article; zbMATH DE number 3983041 (Why is no real title available?)
• Estimation and filtering on a doubly stochastic poisson process

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