Filtering of derived point processes (Q1316603)
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scientific article; zbMATH DE number 519772
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering of derived point processes |
scientific article; zbMATH DE number 519772 |
Statements
Filtering of derived point processes (English)
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4 April 1995
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Two marked point processes on the half-line are considered: initial and derived. The derived point process is obtained from the initial one with the help of a thinning and secondary marking procedure. The conditional distribution of the initial (not observable) process till a given time with respect to the derived (observable) process till the same time is investigated. The corresponding filtering equation is derived. In the case of a semi-Markov process as the initial process the corresponding mutual conditional distribution of the last jump-time before a given time and the value just after the jump of the initial process is proved to be a solution of a Markov renewal equation.
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point process
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thinning
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filtering
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semi-Markov process
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Markov renewal equation
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0.9466459
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0.9266141
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0.8934148
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0.8931833
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0.8926271
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