Parameter estimation for point processes with partial observations: A filtering approach

DOI10.1016/S0167-6911(84)80038-9zbMath0562.62075MaRDI QIDQ1057022

Franz Konecny

Publication date: 1984

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

point processintensity functionmaximum likelihood ratiodoubly stochastic Poisson process driven by a Markov chainfilter equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Non-Markovian processes: estimation (62M09)

Related Items (2)

Recursive parameter estimation for counting processes with linear intensity ⋮ A penalty method for nonparametric estimation of the intensity function of a counting process

Cites Work

• The asymptotic behaviour of maximum likelihood estimators for stationary point processes
• Point processes and queues. Martingale dynamics
• Filtering of jump processes
• Stochastic differential systems. I: Filtering and control. A function space approach
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
• The Lindeberg-Levy Theorem for Martingales
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