Bayesian estimation of the expected time of first arrival past a truncated time T: the case of NHPP with power law intensity

M. Aminzadeh ()

Computational Statistics, 2013, vol. 28, issue 6, 2465-2477

Abstract: Non-homogenous Poisson process, $$\{N(t), t > 0\}$$ under time-truncated sampling scheme is often used in practice. $$E[S_{N(T)+1}$$ ], the expected time of arrival of the first event after a truncated time $$T$$ , is expressed as a function of intensity. A non-informative prior as well as gamma priors for Power Law intensity function are used to obtain Bayes estimates of the expected time. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: ML estimate; Bayesian inference; Power law intensity; Gamma prior; NHPP; Monte Carlo estimation (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00180-013-0414-9

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