Suboptimal nonlinear filtering of the rate of an observed point process

DOI10.1016/0895-7177(93)90144-NzbMath0794.60037OpenAlexW2083429930MaRDI QIDQ1324259

Yaakov Yavin

Publication date: 28 August 1994

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(93)90144-n

zbMATH Keywords

estimatorcompound Poisson processfiltering problemintensity process

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (1)

Recursive estimation of a discrete-time Markov chain

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Point processes and queues. Martingale dynamics
• Recursive parameter estimation for counting processes with linear intensity
• An on-line parameter estimation algorithm for counting process observations (Corresp.)
• Non-linear filtering of counting processes driven by Ornstein-Uhlenbeck processes
• Recursive nonlinear estimation of a diffusion acting as the rate of an observed Poisson process
• Nonlinear filtering with counting observations
• Filtering, Prediction and Smoothing for Counting Process Observations, a Martingale Approach
• Optimal estimation for discrete time jump processes
• A note on linear estimation of the intensity in a doubly stochastic Poisson field
• Filtering and detection for doubly stochastic Poisson processes

This page was built for publication: Suboptimal nonlinear filtering of the rate of an observed point process