Forecasting a class of doubly stochastic Poisson processes

DOI10.1007/s00362-002-0120-0zbMath1008.62093OpenAlexW1998288028MaRDI QIDQ1856570

Paula R. Bouzas, Mariano J. Valderrama, Ana M. Aguilera

Publication date: 10 February 2003

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

Full work available at URL: https://doi.org/10.1007/s00362-002-0120-0

zbMATH Keywords

doubly stochastic Poisson processtruncated normal distributionbank billsmultivariate principal components regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (6)

Functional estimation of the random rate of a Cox process ⋮ On the characteristic functional of a doubly stochastic Poisson process: Application to a narrow-band process ⋮ Functional Principal Component Modelling of the Intensity of a Doubly Stochastic Poisson Process ⋮ Modelling the mean of a doubly stochastic Poisson process by functional data analysis ⋮ Estimating doubly stochastic Poisson process with affine intensities by Kalman filter ⋮ Forecasting counting and time statistics of compound Cox processes: a focus on intensity phase type process, deletions and simultaneous events

Cites Work

• Forecasting time series by functional PCA. Discussion of several weighted approaches
• Estimating the parameters of a doubly truncated normal distribution
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