Algorithm for the exact likelihood of a counting process

DOI10.1080/00207728708967158MaRDI QIDQ3776451zbMATH OpenOpenAlexFDO

Authors A. Thavaneswaran, T. E. Unny

Publication date 1987

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728708967158

zbMATH Keywords

Adaptive estimationcounting process modelDiscrete-time modelsexact maximum likelihood estimatesunequally-spaced datanonlinear intensityPoisson-gamma filter

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10)

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Cites work

• MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
• Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
• Nonparametric inference for a family of counting processes
• Optimal estimation for semimartingales
• Point processes and queues. Martingale dynamics

Cited in

(3)

• Exact Filtering for Partially Observed Continuous Time Models
• Approximate filtering of conditional intensity process for Poisson count data: application to urban crime
• A comparison of three algorithms in the filtering of a Markov-modulated non-homogeneous Poisson process

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