On the Smoothing Estimation Problem for the Intensity of a DSMPP

Rosa Maria Fernández-Alcalá (), Jesus Navarro-Moreno () and Juan C. Ruiz-Molina ()
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Rosa Maria Fernández-Alcalá: University of Jaén
Jesus Navarro-Moreno: University of Jaén
Juan C. Ruiz-Molina: University of Jaén

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 1, 5-16

Abstract: Abstract The smoothing estimation problem for the intensity process of a doubly stochastic multichannel Poisson process is investigated. Recursive procedures for the efficient computation of the fixed-point as well as the fixed-interval smoothing estimators of the intensity process are designed. The only hypothesis imposed is that the covariance function of the intensity process is finite-dimensional and known. Thus, the provided solution is valid for both stationary and non-stationary processes.

Keywords: Doubly stochastic multichannel Poisson process; Smoothing estimation problems; 60G55; 60G25 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11009-010-9165-z

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