On the estimation of the stochastic intensity and the parameters of neyman-scott trigger processes

DOI10.1080/02331888708801997zbMath0615.62112OpenAlexW1993244786MaRDI QIDQ4723093

Franz Konecny

Publication date: 1987

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888708801997

zbMATH Keywords

likelihood ratiopoint processesmaximum likelihood estimatorstochastic equationdoubly stochastic Poisson processesshot-noise processstochastic intensityminimum variance estimateconditional moment generating functionNeyman-Scott trigger processes

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Estimation and detection in stochastic control theory (93E10) Inference from stochastic processes (62M99) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
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