Modelling the mean of a doubly stochastic Poisson process by functional data analysis

DOI10.1016/j.csda.2005.04.015zbMath1445.62212OpenAlexW2158102063MaRDI QIDQ959350

Mariano J. Valderrama, Ana M. Aguilera, Nuria Ruiz-Fuentes, Paula R. Bouzas

Publication date: 11 December 2008

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2005.04.015

zbMATH Keywords

functional data analysisfunctional principal component analysisdoubly stochastic Poisson processmonotone piecewise cubic interpolation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Functional data analysis (62R10) Markov processes: estimation; hidden Markov models (62M05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Uses Software

• fda (R)
• pchip

Cites Work

• On the structure of the stochastic processes of mortgages in Spain
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• Functional data analysis
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• Approximation of estimators in the PCA of a stochastic process using B-splines
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• Principal component estimation of functional logistic regression: discussion of two different approaches
• Computational approaches to estimation in the principal component analysis of a stochastic process
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