Algorithm for the exact likelihood of a counting process

DOI10.1080/00207728708967158zbMATH Open0636.62098OpenAlexW2017615243MaRDI QIDQ3776451FDOQ3776451

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

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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)

Cites Work

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

Cited In (1)

• Exact Filtering for Partially Observed Continuous Time Models

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