Recursive parameter estimation for counting processes with linear intensity

DOI10.1080/17442508608833411MaRDI QIDQ3704773zbMATH OpenOpenAlexFDO

Authors Peter Spreij

Publication date 1986

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://ir.cwi.nl/pub/2491

zbMATH Keywords

asymptotic normalitycounting processesStrong consistencyRecursive estimation algorithmslinear intensity

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

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Cites work

• Asymptotic inference in stationary Gaussian time-series
• Calcul stochastique et problèmes de martingales
• Central limit theorems for local martingales
• Convergence results for continuous-time adaptive stochastic filtering algorithms
• Parameter estimation for point processes with partial observations: A filtering approach
• The asymptotic behaviour of maximum likelihood estimators for stationary point processes

Cited in

(12)

• Recursive estimation of a discrete-time Markov chain
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• Empirical assessment of the maximum likelihood estimator quality in a parametric counting process model for recurrent events
• Recursive parameter estimation for semimartingales
• Recursive approximate maximum likelihood estimation for a class of counting process models
• Suboptimal nonlinear filtering of the rate of an observed point process
• MODEL REFERENCE ADAPTIVE SYSTEM ESTIMATES FOR COUNTING PROCESSES
• Recursive estimation of the parameters of a nonstationary Poisson flow
• Application of the method of stochastic approximation to the estimation of the parameters of a nonstationary Poisson flow
• Algorithm for the exact likelihood of a counting process
• Weighted least squares estimates in linear regression models for processes with uncorrelated increments

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