Functional Estimation of the Random Rate of a Cox Process

Paula R. Bouzas (), Ana M. Aguilera and Nuria Ruiz-Fuentes
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Paula R. Bouzas: Univ. Granada
Ana M. Aguilera: Univ. Granada
Nuria Ruiz-Fuentes: Univ. Jaén

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 1, 57-69

Abstract: Abstract The intensity of a doubly stochastic Poisson process (DSPP) is also a stochastic process whose integral is the mean process of the DSPP. From a set of sample paths of the Cox process we propose a numerical method, preserving the monotone character of the mean, to estimate the intensity on the basis of the functional PCA. A validation of the estimation method is presented by means of a simulation as well as a comparison with an alternative estimation method.

Keywords: Cox process; Monotone piecewise cubic interpolation; Functional principal component analysis; Functional data analysis; 60G51; 60G55; 62H25; 46N30 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-010-9173-z

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