Estimation and filtering on a doubly stochastic poisson process

DOI10.1002/ASM.3150110104MaRDI QIDQ4842346zbMATH OpenOpenAlexFDO

Authors Mariano J. Valderrama, Francisco G. Jimenez, Ramón Gutiérrez, Alfredo Martínez-Almecija

Publication date 7 September 1995

Published in Applied Stochastic Models and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asm.3150110104

zbMATH Keywords

doubly stochastic Poisson processharmonic decomposition of its intensity functionKalman filteringKarhunen-Loeve expansionsample- function density

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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Cites work

• Doubly stochastic Poisson processes
• Maximum likelihood estimation for doubly stochastic poisson processes with partial observations

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(28)

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• Risk sensitive filtering with Poisson process observations
• A theoretical note on the distribution of a filtered compound doubly stochastic Poisson process
• Spline approximations of the correlation function and probability density of the doubly stochastic Poisson flow intensity
• Optimum nonlinear filtering of a doubly stochastic Poisson stream controlled by a purely discontinuous Markov process
• Nonparametric inference for a doubly stochastic Poisson process
• Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
• LMMSE estimation based on counting observations
• Functional principal component modelling of the intensity of a doubly stochastic Poisson process
• A Monte Carlo Approach to Filtering for a Class of Marked Doubly Stochastic Poisson Processes
• scientific article; zbMATH DE number 3911532 (Why is no real title available?)
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• Estimation of the Rate of a Doubly Stochastic Time-Space Poisson Process
• On Bayes’ Formula for Doubly Stochastic Point Process on the Real Half-Line
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• Discrete time filters for doubly stochastic poisson processes and other exponential noise models
• On the smoothing estimation problem for the intensity of a DSMPP
• Functional estimation of the random rate of a Cox process
• scientific article; zbMATH DE number 2016283 (Why is no real title available?)
• Exact filters for doubly stochastic AR models with conditionally Poisson observations
• On the estimation of the stochastic intensity and the parameters of neyman-scott trigger processes
• Stability of the filter with Poisson observations
• Nonlinear filtering in spatio-temporal doubly stochastic point processes driven by OU processes
• On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process
• Modelling the mean of a doubly stochastic Poisson process by functional data analysis
• Statistical inference for doubly stochastic multichannel Poisson processes: a PCA approach

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