Estimation and filtering on a doubly stochastic poisson process

Mariano J. Valderrama, Francisco Jimenez, Ramon Gutierrez and Alfredo Martinez‐Almecija

Applied Stochastic Models and Data Analysis, 1995, vol. 11, issue 1, 13-24

Abstract: An explicit formula for the characteristic function of a doubly stochastic Poisson process is derived in this paper by means of the harmonic decomposition of its intensity function that we suppose to be Gaussian. The statistical moments are then obtained, as well as the sample function density of the process. These results are applied to estimate the parameters of several well‐known processes. Finally, a linear filtering procedure for the intensity function is developed and the algorithm is implemented by computers.

Date: 1995
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https://doi.org/10.1002/asm.3150110104

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmda:v:11:y:1995:i:1:p:13-24

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