Estimating the parameters of a seasonal Markov-modulated Poisson process

DOI10.1016/j.stamet.2015.04.003zbMath1487.62100OpenAlexW2080668245MaRDI QIDQ1731379

Armelle Guillou, Gilles Stupfler, Stéphane Loisel

Publication date: 13 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2015.04.003

zbMATH Keywords

seasonalityasymptotic normalitystrong consistencyMarkov-modulated Poisson processsplit-time likelihood

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15)

Related Items

Statistical inference for partially observed Markov-modulated diffusion risk model, A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models, Bayesian Estimation for the Markov-Modulated Diffusion Risk Model, Modelling and understanding count processes through a Markov-modulated non-homogeneous Poisson process framework

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• An EM algorithm for estimation in Markov-modulated Poisson processes
• Doubly periodic non-homogeneous Poisson models for hurricane data
• A non-parametric estimator for the doubly periodic Poisson intensity function
• On the probability of ruin in a Markov-modulated risk model
• Ruin theory for a Markov regime-switching model under a threshold dividend strategy
• On the Markov-modulated insurance risk model with tax
• Maximum-likelihood estimation for hidden Markov models
• A fitting algorithm for Markov-modulated Poisson processes having two arrival rates
• Consistent and asymptotically normal parameter estimates for hidden Markov models
• On the joint distribution of surplus before and after ruin under a Markovian regime switching model
• Estimation of the parameters of a Markov-modulated loss process in insurance
• A course in credibility theory and its applications
• Non-Life Insurance Pricing with Generalized Linear Models
• The Markov-modulated Poisson process (MMPP) cookbook
• Parameter estimation for Markov modulated poisson processes
• Circulant Preconditioners for Markov-Modulated Poisson Processes and Their Applications to Manufacturing Systems
• On identifiability and order of continuous-time aggregated Markov chains, Markov-modulated Poisson processes, and phase-type distributions
• Risk theory in a Markovian environment
• Error bounds for convolutional codes and an asymptotically optimum decoding algorithm
• Linear Statistical Inference and its Applications